3 versions - either WITH clause in an MDX query which limits the scope to that query or with CREATE syntax in the cube definition with maintains the named set at cube scope or again using CREATE syntax within a scope - which limits scope to that session.
DROP SET syntax can be used to drop a set out of a session - could be useful if it memory hungry.
The set will probably appear under dimension of which it uses members but a set can use multiple dimensions members so it the water becomes muddied then.
Can choose a folder for it to appear in.
Static set never changes and dynamic (new in 2008) will allow top count and the like.