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To find socketed items you want to kill a lot of [[monster]]s while wearing as little [[Magic Find]] % as possible.
The key is to not have any [[Magic Find]], since the more of that you have the more likely items dropped will be [[magic]]al or better ([[Rare]], [[Set]], [[Uniques|Unique]]). Zero [[MF]] is best for finding socketed items, but if you can't avoid a small % bonus, it won't make much of a difference. The best characters for this are probably [[Sorc]]s for the high-level areas in hell mode and [[Javazons]] for the Cow level, where each can kill at a tremendous pace.
You want to be in as big a multi-player game as possible, so more items will drop, though this can be taken too far. If you don't have a power character and it's taking you much longer to kill in an 8-player, you could drop down to a 3-5 player and still have lots of items dropping, while killing so much faster that you actually got more items than you would taking twice as long in an 8 player game.