You can use the set() function to convert an iterable into a set, and then use standard set update operator (|=) to add the unique values from your new set into the existing one.
>>> a = { 1, 2, 3 }
>>> b = ( 3, 4, 5 )
>>> a |= set(b)
>>> a
set([1, 2, 3, 4, 5])