Hello Natalie Keener, and welcome on our forums,
I would have loved a workbook indeed, but as you mentioned, that is not an available option.
First, could you please tell me your version of Tableau?
As an alternative to showing the set using In/Out mode, you can list the members in the set. Showing the members in the set automatically adds a filter to the view that includes only the members of the set.
Switch a set to list the individual members by selecting Show Members in Set on the field menu.
There is an excellent step-by-step guide about sets here: deep dive sets in/out