Apparently you can... Just found out today and I remembered this post.
If you are talking about creating an item set from one of the games you played... then Go to Match history -> right click on your items -> click on import item set option. Turns out you can import any build from any champion in that match into your item set.
Hope that's what you were looking for! If not then ignore me xD
However, in the comments of the build you want to import, you can ask the guide author to paste their item set code so you can import it yourself.
If you are talking about creating an item set from one of the games you played... then Go to Match history -> right click on your items -> click on import item set option. Turns out you can import any build from any champion in that match into your item set.
Hope that's what you were looking for! If not then ignore me xD