I am looking into possibly using test sets with my QA team and I was wondering different types of implementations of this feature. Also Best practices.
I sure hope you have had an answer BEFORE now. If not, my apologies. So I was a QA Manager at one time in my career. I was often chided for my QA style. However, doing what you are doing is the very best contribution you can do to the success of your Company. I didn't have the tools that are available today. Mine was manual - very manual. You have the opportunity to use TDM and ARD to create a robust testing schema. As with Roman, it was not built in a day.
With the Agile requirements that you are provided, I would those into ARD to capture all the points that need to be tested, create the test cases needed, have TDM produce the data to test with, and then even use Javelin to execute the tests if needed or push them out to a Test Case Executer.
I would suggest looking at the videos in the ARD communities, couple that with the videos on this site, and then start to build your test suite that will eventually be turned into a Regression suite to harden each iteration of the software with the new requirements simply added to all the others.