A really fun way to use marbles in jewelry is to fry them. This makes them crack on the inside, so they look more interesting.
It sounds dangerous, and kids shouldn't do it by themselves, but if you are careful it is quite safe and you end up with an interesting addition to your marble collection.
Use marbles that are solid, clear colors, without anything inside. Then, put them in a fry pan and heat them up on the stove. Alternately, you might want to put them in a very hot oven. Then, quickly put them into ice cold water. Voila, you have crackled marbles.
If you want to make them into pendants you'll either have to glue them to wire, or put them in a wire cage.