Rockwool......

perfectstarts are even better than rockwool. You put them in your net pot once they have sprouted and fill the rest of the pot with expanded clay.

I leave them bare and set them in either a well aerated solution, in a misting/aero box or an ultrasonic box.
Why set them in any media?

I agree with Grizzman, a cup of water and a 1" airstone works great and is cheap to setup. The ultrasonic fogger gives me the fastest and best results. I also mist my cuttings with a seaweed extract (cold press gives me the best results).