I don't recall ever having seen any guides or tutorials but the basic idea is get an image you like, blend it around, design other things, etc until you have a final image you like, most of this is just experimentation with images, layers, effects, brushes, whatever. From there you need to put text on it (well, you don't NEED too but most people do) this can either be your name or sub-text or whatever. After thats all done I usually just transfer my entire image into Paint where I put borders on and perhaps do a few cutouts, I always colour the cutouts a completely different colour to those in the image so I have less problems when I make them transparent. All up how to make sets is a little difficult to explain because there a number of steps each requiring a specific explanation.
Like Kitten Medli said though, perhaps if you tell us what type of program you're using, that way someone who has the program can perhaps give you specific directions and maybe even examples.
Ummm... I hope I haven't confused you too much...
[edit]Okay, I got bored and decided to write up a small tutorial on it, just the very simplistic basics:
http://www.geocities.com/ppmedusa/sets/tutorial.html Enjoy![/edit]