You can add a document to a set with the following steps:
Under Data Catalog, click on Documents
You can select the document by clicking the check box next to the document
Click on the "Selected" button to reveal a menu, then select Add To Set
In the Add To Set window, select the checkbox next to the set you would like to add the document to an existing set or you can click on the Create New Set button if you would like to create a new set, then click Add
