I wish to move some of my favorites into sets, but I don't know if there even is a way to do it at once. Also would like to remove these posts after.

2 ways to do this as far as I know.

First -
1. Go to your favourites. At the left side of the screen below the search bar, there should be a "Mode" scrolldown menu.
2. Change the mode from "View" to "add to set"
3. Select the desired set.
4. Add what you want

Second -
1. Navigate to your set. At the top of the screen there should be various options like edit, delete, maintainers,ect
2. select "edit posts"
3. Add the post IDs you want to put in the set. Click update afterwards.