Sauna rocks gradually they break down, settle and compact from normal usage, resulting in performance degradation and risk of causing premature failure of the heating elements. It's good sauna care to take them out and wash them periodically, at the same time removing any broken-stone debris etc from the stove heating chamber.
If the tops of the elements show poking out above the upper surface of the stones, it's usually a sign that the stones are in need of renewal - note also that this 'bare element' situation can present a fire risk.
Always rinse new stones in a bucket of clean water before putting them into the Stove - this removes any dust and small flakes resulting from transit. Don't force them between the elements of electric stoves (better they are a 'loose' fit) to avoid undue stress on the elements when heated. Some stones may be left over when the stove has been filled - keep them for use later, when the stones have settled. In general, it's better to have too many rather then too few stones, however avoid over-piling and the risk of hot stones falling off the stove in service.