You can do in Tableau 8 also.Select both of the field right click on them, there is a option of combine field,Click on that.They combine and make a single filed.Then make the set of that field....
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In Tableau v7 there were three kinds of sets:
1. There was the kind that you'd get from selecting 2+ fields and choosing "Create Set"
2. What you'd get from selecting 1 field and choosing "Create Set".
3. The temporary set that would be on the Filters Shelf when you selected some marks and chose to create a set.
In Tableau v8, this is a bit different:
1. The first kind of set is now called a Combined Field, and it works just like the v7 Set from 2+ fields, only Combined Fields are in the Dimensions window instead of the Set window. Combined Fields have been enhanced in two ways, you can choose the ordering of the fields and their separator. So you're right in that once you Combine the fields you can't create a Set, but combining the fields gives you the behavior of the v7 Set equivalent.
2. The second set is unchanged as far as creation.
3. The third type of set is actually created as a Set now, which makes it easy to re-use.
For #2 and #3, if those sets include the same Dimension(s) then we can combine the sets, and we can also use the In/Out of the Sets in Tableau Data Extracts.
If you really want to create a Set out of a Combined Field, then you'll need to build your own calculated field that combines the fields, and then make a Set from that.
Hope this helps!