I would do both, what do you have to lose. For the sake of 20cents, you give buyers extra options; get more items in your shop, better exposure for you. Win win! I also agree that you should make the set slightly cheaper than buying the items separately, to encourage buyers to spend more money in your shop.
Also, link everything together. There's no limit on links in your description - link from the set to each item, and from each item to each other and the set.