The Set option is a way of saving multiple items, such as props, in one file. But before you save a set, the individual items should already have been saved as Figure/Prop assets. That's done in Menu> File> Save As> Support Asset> Figure/Prop Asset. That saves the data and any morphs in your Data folder. If you don't do that first, the geometry and morphs are saved in the Set file, which makes it larger than necessary.
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You save it as a "Scene Subset". That would normally automatically add the "Set".
The Set option is a way of saving multiple items, such as props, in one file. But before you save a set, the individual items should already have been saved as Figure/Prop assets. That's done in Menu> File> Save As> Support Asset> Figure/Prop Asset. That saves the data and any morphs in your Data folder. If you don't do that first, the geometry and morphs are saved in the Set file, which makes it larger than necessary.