A set contains projects and an audio pool shared by these projects.
I don’t see much need for separate sets unless you want separate shared audio pools. You can create or change sets from within the PROJECTS menu. Just scroll down.
You can have as much sets on a single CF card (not SD ) as the fat32 file system allows directories at the root folder. Btw: you can store samples also in the project directory. There is a global setting for which one (shared audio dir or project dir) is used by default.