I don't believe this is directly covered anywhere, but they change shape frequently. 

The Tesseract manifests as a cube in our reality. **Space Stone**

The Aether is a liquid that can exist within a person's body. **Reality Stone**

Loki's sceptre has a gem on it but a different shape to the final gem. It also conveniently fits into Vision's forehead receptacle. **Mind Stone**

The **Soul Stone** looks the correct shape but is too big before Thanos claims it.

The **Time Stone** and **Power Stone** look around the right shape and size already.

They seem to conform to the expectations of those wielding them, Thanos needs them to fit in his glove so they do.