(If you want to make smaller ones, try crochet thread and a really small-gauge steel hook, like size 7 or so.)
I've also seen crochet jewelry made out of wire, but I think it's tricky to do.
i love the idea. i think these would look awesome crocheted in wire. It gives it a very lacy appearance, and if you add beads as you go, it'll look like it's encrusted with little gems. my only piece of advice is that the thinner the wire, the easier it is to crochet, but the less durable it is, so try to find a balance you're comfortable with. i, personally, can't have nice things, so i tend to go a little thicker :-)
otherwise i've been playing with this very thin Malabrigo yarn that comes in some beautiful colors.
i am so excited to try this!