Over at Tamriel Journal I found a pretty good explanation about crafted set items. The article also lists the locations of the special crafting stations out in the wild (article is here). I did stumble across Steamfont Caverns last night and so I was curious how all of that worked. Now I know!
The tough part for me is going to be hauling myself to these locations, since my Woodworker, Clothier, and Blacksmith are all different toons, so if I wanted a set that included clothing + weapon, I'd have to travel there multiple times.
