Here's a video by our friend Gary over at Upton showing how he sets a bridge.
Lie it down on a bed, use one hand to support the feet so they don't move, grab the A string, and push with your thumb. If your bridge is properly cut so the strings are not biting into it, you lubricate the grooves with some pencil lead when you change strings, and the string windings are not coming undone grabbing the bridge, it should still move under playing tension.