Look at the back of the jewelry for designer names. Miriam Haskell, Eisenberg, Weiss, Hobe, Hollycraft, are a few of the top designers back then. These pieces are expensive if in good condition and you have the entire set. Earrings, bracelet and necklace or broach.
If you have any jewelry made from hair it is highly desirable and demands a good price. Also look for gold markings 10k, or 12k.
Look around at this link for high end jewelry from the 30's and 40's.
BEAUTIFUL VINTAGE COSTUME DESIGNER JEWELRY FEATURING VINTAGE CRYSTAL RHINESTONE JEWELRY SIGNED BY FAMOUS DESIGNERS
Vintage Hobe Costume Jewelry - Collector Information | Collectors Weekly