You can use a function comparator without wrapping it like so:
bool comparator(const MyType &lhs, const MyType &rhs)
{
return [...];
}
std::set<MyType, bool(*)(const MyType&, const MyType&)> mySet(&comparator);
which is irritating to type out every time you need a set of that type, and can cause issues if you don't create all sets with the same comparator.