If you want to define a new FAQ Set, use DotNetNuke context menu and click "New Set". If you want to edit an existing one, spot the set in FAQ Sets and then click the item.
New Set from Menu
Both adding a new set and editing an existing one, is handled within the same interface.
Add / Edit FAQ Set
Here you first enter the Set Name. It can be anything, but it would be better to represent the nature of this selection. This name will appear in module settings also.
The next thing to choose is the items that would be associated with this set. You can freely choose the items. In this list, only the FAQ questions are displayed.
You can use Check All and Uncheck All links for convenience. Also, the checkbox on each node checks / unchecks all the items belonging to the node. For example, if you check the checkbox of the node "FAQ 1 | Captain's Log / [Left Pane]", all the 3 items will be checked.
After you arrange everything, you can click Update and save the FAQ Set.
You do not receive an error if you delete a FAQ item from the standard "FAQs Module" of DNN before deleting the association here. You can do it. The only problem is the excessive database record kept for the deleted items. But this problem is also handled the next time you update the set.