Custom Item Set

I'll assume you mean the new client.

The feature isn't built yet there, so you'll have to build the set in the old client, then load into a custom game with it so that it gets saved server-side. From then on you should be able to use it through the new client. (need to go back to the old one if you want to edit though.)

Be advised though, Riot was pretty certain that a new item set creator (if they do decide to make one) wouldn't be made available by the time the open beta ends. So if you need to adjust your item sets, you will want to do so before the legacy client gets retired.

I also heard that a few people may have been making 3rd party applications designed to make the item sets, outside the new application. But don't quote me on this, especially since 3rd party applications run a risk as they are not regulated by Riot, just make sure you trust the source.