Dry sets are more challenging, but they can be successfully done. I'm with the ladies here who set on wet hair only, but once in a while when I want curls after an airdry, if my hair is straight I'll dip my comb in a glass of water (add some setting lotion if you want to ensure the curls keep longer) and wet--not saturate--each piece as I roll it. It will dry overnight and you'll have nice pretty curls in the morning. But it does look and feel different, at least for me, from a wet set.