Lots of good advice above. Much of it is trial and error - if it sounds right then it's right - and you get better at knowing what'll work with practise. As said above, it is easier to put just reels together or just jigs, etc., rather than mixing them, though mixing them can work really well. A sudden key change can sound odd, but it can also be a welcome musical jolt that makes you sit up and listen - it depends on the keys and modes in question. Many people have sets that pick up speed as they head towards the finale, i.e. slow tune / medium paced tune / fast tune. Sometimes sets are all at the same pace, whatever that might be. I wonder from what you've indicated if this is partly a question of confidence and just getting into the swing of changing tunes. If so, just practise, and notice what other people do and how they change tunes in your local session. If you don't have a local session, try to find one.