Another option is to use a dictionary with values you don't care about. E.g.,
poor_man_set = {}
poor_man_set[1] = None
poor_man_set[2] = None
poor_man_set[3] = None
...
You can treat the keys as a set except that they're just an array:
keys = poor_man_set.keys()
print "Some key = %s" % keys[0]
A side effect of this choice is that your code will be backwards compatible with older, pre-set
versions of Python. It's maybe not the best answer but it's another option.
Edit: You can even do something like this to hide the fact that you used a dict instead of an array or set:
poor_man_set = {}
poor_man_set[1] = None
poor_man_set[2] = None
poor_man_set[3] = None
poor_man_set = poor_man_set.keys()