To use a smart list, you could add a tag or custom field to your songs to show which song should appear in which list. Then create a smart list for each grouping of songs, which filters by that tag or custom field, and sorts by title.
To use a set list, you could add all the songs you want to the set list, then on the Edit Songs page, click the "more options" (three dots) button on the set heading and select Sort By Field > Title.
The advantage of a smart list is that it will automatically add the songs as you edit your tags or custom fields, and will automatically sort when you display it.