Download HxD software (Hex Editor) or any other capable of editing .dll files in a hexadecimal manner.

First make a backup of your Game.dll file located in Titan Quest installation (root) folder. Make sure you make a backup, because this file contains the mechanics and "rules" for the game and the following modification considered as cheating in multiplayer mode. Then open the original Game.dll file with the software and do a "Search" or "Find and Replace" for search of the following sequence:

First of all, select "hex-values" for search. Then look for:

83 F8 04 74 14 83 F8 03 74 0F

and change it to

83 F8 04 90 90 83 F8 03 90 90

There may be a few of the above sequence, you have to change it all in order to enable socketing items which come from Expansion Sets (IT, RAG, A). Save the file and voilá. You do not have to start another new game, the mod will be active at an instant.

Keep in mind, you can remove sockets from items/keep items at the Enchanter for much more gold, making it really expensive to "desocket" a Unique item. Seems the devs implemented this feature, as all unique items have socket removal prices. So think about it twice, before socketing one.

--- !!! IMPORTANT !!! ---
You need to modify the Game.dll file again, everytime after a new update installed!