From Diablo Wiki
Page states that "No orbs currently have any sockets, nor can you even add one with the Socketing quest reward."
This seems to have been changed with version 1.13, at least in single player : something in Nightmare/Act IV dropped a Sparkling Ball, non-magic, with typical powers (+ to Chilling Armor & mana) and also two sockets. There may have been more but I'm using a bowazon and don't search for them.
The Sockets page on this very Wiki confirms it -- Orbs can have up to 3 Sockets in 1.13 now. In fact, a Socketed Jared's Stone just dropped for one of my low-level Sorceresses. I'll update the article with the information from the Sockets page.