Hi Weidner,
Do you mean adding all songs shown to a set?  If so, that isn't currently a feature, however, I've added it to the coming release.
To use it, you simply filter the songs you want to add, then click on the 'Set' text at the top of the checkbox column.  You will see a confirmation popup (since you could be adding a lot of songs accidentally).  It will only add songs that aren't already in your set.
Here's how it will look in v6.5.5:
1. Filter your menu (I've filtered by Squeeze songs)
2.  Click on the 'Set' text above the checkboxes and you will see a confirmation popup
3.  After confirming, the songs are added
Hope that helps?
Gareth