To create a set, expand the Assembly container and double-click on Sets (or right-click and choose Create). Then select the geometry or elements that you want to include in the set (display groups can help you hide parts and regions that are not needed for the set). You can select multiple parts at once. Just keep in mind that when creating a geometry set, you should change the selection filter (drop-down list next to a button with a cursor symbol) to Cells so that you select volumes, not only faces.