From the song library page, click the 'new set list' button.
The set list panel will open up with an new, empty set list. Drag and drop the songs that you want in the set list onto this panel. Important: as you make changes to your set list, it is automatically saved - you don't need to do anything to make this happen.
Give the set list a title. If you know when you'll be playing the set, select the date as well. This will help you find the set list later on.
If you need to change the key or capo position for any of the songs, just click the song you want to change, and alter the values accordingly. You'll see a preview of the changes as you make them.
That's it - all done. You can play the set list immediately if you want by pressing the 'play set list' button.