Here's the mysql reference for cursors. So I'm guessing it's something like this:
DECLARE done INT DEFAULT 0;
DECLARE products_id INT;
DECLARE result varchar(4000);
DECLARE cur1 CURSOR FOR SELECT products_id FROM sets_products WHERE set_id = 1;
DECLARE CONTINUE HANDLER FOR NOT FOUND SET done = 1;
OPEN cur1;
REPEAT
FETCH cur1 INTO products_id;
IF NOT done THEN
CALL generate_parameter_list(@product_id, @result);
SET param = param + "," + result; -- not sure on this syntax
END IF;
UNTIL done END REPEAT;
CLOSE cur1;
-- now trim off the trailing , if desired