I recently updated the app with some changes that should make icon set management much easier. Two options were added to icon sets' drop down menu (located at the top right corner of each set).
Move Up and
Move Down let you rearrange your icons sets.
If you'd like to combine your selected icons into one icon set, you can use Main Menu > New Set From Selection without losing your selection, settings, or the codes you assigned to your glyphs.
There is also the new "Move" mode which lets you move & sort the icons themselves.