Mostly its been covered here...my approach is:

start brisk
then play whatever I like
close with something I wouldn't want to follow if someone else was playing it! (cause that's the song that you shouldn't place elsewhere in the set where you have to follow it).

I don't generally use a set list if I'm playing solo, just a cheat sheet of titles grouped by practical category--DADGAD, standard, instrumentals.

And I'll throw in a chestnut if it has gone out of circulation. Otherwise I just do them by request. If you have to write "Barrett's Privateers" or "Take It Easy" on a set list, you need some new material...