Item sets are comprised of a given number of items that, when equipped, will grant you one or more special set bonuses. Let me take the blue Outland Warlock set as an example:
Oblivion Raiment
2 pieces: Grants your pet 45 mana per 5 sec.
4 pieces: Your Seed of Corruption deals 180 additional damage when it detonates.
It does exactly what it says. Having two pieces of the set equipped give your pet the extra mana regeneration, equipping four pieces give you the extra SoC damage. Note that there is no difference between equipping four or five pieces of the set where set bonuses are concerned.
At lower levels, it is generally not worthwhile to spend the time collecting a set, as you are better off putting that time into leveling up. It is also quite likely that you level beyond the intended range of a set while collecting it, which means you wasted your efforts in gathering that set. So, I would suggest not putting extra time in sets until you are beyond level 60, and can look towards the first reasonably nice set for warlocks: Netherweave Vestments. These are tailored, and as such relatively easy to obtain.
See below for a listing of all the 60+ warlock usable item sets;
I've chosen not to list the pre-BC raid sets, as the content you must do to acquire them is rarely done by guilds at all anymore.

5-man Instance Sets
Azeroth

Outland