Like most things in music one of the best ways to learn what works is listen to players who are already doing it. Listen to sets of tunes played by artistes you admire or respect. You can get a feel for how they make transitions between similar tunes or between different types of tune.
If you are playing within a particular musical tradition it might dictate the format of changes, for instance in certain Scottish traditions a set of tune might contain a reel, a strathspey and something else (not my tradition) which jigsaw in a particular order.
If a set of tunes is played for dancing you will need to keep them within a compatible tempo or it upsets (the rhythm of) the dancers.
You may wish to have changes of tempo or key if a set is for an audience to listen to. A lot depends on the reason you are playing the tunes.
Quack!
Geoff the Duck.