Sets are a fast container class to store (usually) unique elements in a context where the order is irrelevant.
Much like working with Arrays in the editor, you can add an element by clicking on the plus sign icon next to the Set name.
Set elements are entered like other properties in the Details panel: colors are selected with the Color Picker, numbers can be entered or selected with the slider, etc.
If you enter a duplicate element, the editor will warn you that this is not an allowed action and prevent the duplicate element from being saved.
To delete any entry in the Set, use the drop-down arrow next to that element, then select Delete.