I use the holders for signs. Like the ones used to hold political signs. Cut then in half and you get two tombstone holders. They are strong enough to flex in the wind but stay in the ground. The thin wire doesn't tear up the stones.
We build our own so we do the bit where we sandwich some PVC tube (electrical conduit I think) between the two slices of foam and then slide that over rebar posted into the ground. Has the added benefit of making the tombstones a bit thicker and adding something solid down the centre to prevent snapping. Really happy with the way this works - we get crazy winds here and the tombstones don't even budge.
Glue a 3/4-inch PVC clamp http://www.lowes.com/pd_75749-223-E977EC20-UPC_0__ to the back of the tombstone. Drive a two foot length of half-inch PVC pipe into the ground. Set the tombstone so that the PVC pipe runs up through clamp. If the wind is so bad that my stones might STILL fly away, I probably won't be putting up much of an outdoor display that year anyway.
We back all of out tombstones (home made or store bought) with OSB (glued with foam board adhesive). This gives a sturdy surface to screw pegs or other supports to. It also stiffens the foam and makes it WAY more resistant to strong wind.
What everyone else has said in this thread. Just drill a hole, depending on the thickness of the stone, 1/4" to 7/8" in diameter, about 4" deep, some 6" deep, and drill two holes in each stone about 2" from the side. The rod, which can be a wooden dowel or rebar should good into the ground at least 6". To some it seems deep, to others not deep enough. I know some who go 12". It's what you want. The stone will stay put barring a hurricane, as we say down here.
Our tiny front yard is dominated by giant tree roots, so rebar would severely limit where we could place our tombstones. But, we get fierce Santa Ana winds in the fall and need to secure them strongly. Our solution was to adhere the bottom of the stones to 4x4 wooden bases, aged and painted to look like stone. We drilled holes into the bottom of the tombstones to insert thick wooden dowels most of the way up, then inserted the dowels into matching holes in the wooden base. We used Gorilla Glue on the bottom of the foam tombstones so they would stick firmly to the wooden base. Each base has 2 large eye hooks screwed into the back side, and we drive metal tent stakes through them to hold the tombstones in place. This has worked very well. One of the major advantages is that it is less noticeable from the back of the tombstones, which is important because of how the path runs through our yard.