While it's fairly apparent how to create a set and add songs to it, you may not know that you can also perform other functions to a set once it's been created. To do this, you just need to view the list of your sets, enter editing mode, and then tap on the name of the set.
To do this, view the list of your sets so the names of your sets appear: http://onsongapp.com/docs/interface/menubar/songs-menu/my-sets/active/
Of course if you were to tap on these names it would normally view songs in the set. Instead, tap on the "Edit" button in the upper right button to enter editing mode: http://onsongapp.com/docs/interface/menubar/songs-menu/my-sets/edit/
In this mode you can delete sets or reorder them, but you can also tap on the name of a set to view a menu of actions you can perform on the set: http://onsongapp.com/docs/interface/menubar/songs-menu/my-sets/edit/action/
Here you can edit the set if you want to rename it or change it's start time. You could also archive and unarchive the set and perform some other advanced options.