Just a quick update, timings using python 3:
#!/usr/local/bin python3
from timeit import Timer
a = set(range(1, 100000))
b = list(range(50000, 150000))
def one_by_one(s, l):
for i in l:
s.add(i)
def cast_to_list_and_back(s, l):
s = set(list(s) + l)
def update_set(s,l):
s.update(l)
results are:
one_by_one 10.184448844986036
cast_to_list_and_back 7.969255169969983
update_set 2.212590195937082