I do use them, for tracking which collections sell best, but also once a customer is viewing your content on the detail page, the set will appear under the selected picture. I actually often have two or more downloads from the same customer - as my content is mostly travel/destination.
So if you have an extra oppurtunity to let the costumers browse through your content instead of other contributors, when they like your style, why not?
I started with it right from the beginning and drop new approved files immediately in the set, then it's just a routine of seconds, once set up.