You can't have a set list of set lists. What you could do is build one set list with those several sets and then play from that set list and just jump between the sets as needed at each set break. So if I'm understanding you correctly, one night you might play sets 2, 4, 1 and another night you might play sets 1, 3, 5. But really the best way is to copy each of these sets into a new set list, especially if you want to have a record of which sets you used at each gig, or if you want to make some tweaks to a night's set list compared to the original master list (neither of which would be possible if you were merely linking to sets).