Transcribe does not have a specific set list feature but you can easily get the same effect. Create a folder for each setlist and put the transcription files for that set into that folder. Then you can easily load all those transcriptions at once by drag-n-drop onto Transcribes window. Note that if a tune appears in more than one set then it's fine to copy the transcription file - transcription files are small. For more discussion of this technique, please see Help - Various Topics - Organising Many Transcriptions.