Simplest way is to just create a trigger like this;
Trigger:
Event
- a unit acquires an item
Conditions
- Triggering unit has item of type (set item nr 1)
- ... (set item nr 2)
- ... (set item nr 3)
- ... (set item nr 4)
Actions
- Remove the set items from the game
- Create item of type (complete set) and give to triggering unit