To use any of the stones in Pokemon Conquest, you have to equip the pokemon compatible with the stone, go into battle (preferably a training battle and not one to conquer a castle, but that's just me), if you win, you should get a scene of the pokemon's owner says something along the lines of "Something is happening to [insert pokemon here]," then the little evolution scene will happen. The only ones I've done are Thunder Stone for Eevee to Jolteon, Water Stone for second Eevee to Vaporeon, and Moon Stone for Jigglypuff to Wigglytuff.
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use a thunder stone on pikachu.
thunderstone cave
Use a thunder stone
You'll need to use a Thunder Stone on a Elektrik.
You can get it in Cerulean but pikachu won't let you use it on him in yellow.