Sets can be sent as individual files or as one big file. If you want to send them as one file, you can go into OnSong > Share Menu > Email > Output Options (wrench icon) > Select "As a single file". The format that you want to send it in is an OnSong Archive. Otherwise, when you send a set, it will export each song within the set as an individual file. So when you go to save the files you could have say 15 vs. just importing one big file containing all the songs.