Emergency services were called to the River Don near Monymusk on Friday afternoon after a report of someone in difficulty.
The search continued on Saturday and police confirmed it had entered its third day on Sunday.
Monymusk Parish Church has invited local people to gather in prayer.
The vigil was due to be held by the Rev Euan Glen at 18:30.
On Sunday, Mr Glen told BBC Scotland: "Tonight the church will host family and friends. Each person can light a candle of hope and then we will sit and listen to some music before I close the vigil with a prayer.
"I don't know how many will attend but I shall make myself available for anyone who wants to speak to me about this awful tragedy and how it makes them feel."
He had posted on the church Facebook page on Saturday evening: "Tonight we have been informed who is missing in the river and our thoughts and prayers are with [the family] during this terrible time."
The Christmas lights switch on at Monymusk has been cancelled as a mark of respect.
It is thought the woman was attempting to rescue a dog at the time.