press N to see the connection list and you will see a little S next to the players name who sent you the set. Click on it and it'll ask you for a name for the set. Enter the name and it'll be saved.
If you download setups from the 'net (team inferno etc.) you've got two choices. You can double click on the setup file and when it asks what program to open it with, select LFS, it'll copy the file to the correct directory for you.
Or you can simply copy the .set files into LFS/data/settings