It's possible to buy fine silver rings to attach clay to. You can see them here: http://www.palmermetals.co.uk/shop/precious-metal-clay/metal-clay-findings/fine-silver-ring-liners-and-bands.html. This was the first supplier I found on Google, I don't know anything about them at all. These bands are made to use with PMC.
I have a PMC kit but I'm yet to actually make anything with it, so take my advice with a grain of salt. But I'm pretty sure it's completely possible.