Download entire Sets following these steps:
Add frames to any Set you'd like.
Download your Set by following these steps:
Click on the Set menu located on the left panel of the screen.
Locate the Set you would like to download from the list.
Click on the three dots icon located on the right side of the Set.
Select the "Download" button from the options that appear.
A pop-up window will appear. Click on the large "Download" button.