You can add elements to sets on-the-fly, e.g., with the add() method. You can also clear() them, and start over from scratch. The bigger problem is making sure that components that depend on the newly modified set. In particular, you may have to re-construct
(via a reconstruct()) any constraints / variables / parameters that are indexed by the set.
If you are simply doing something iteratively (like benders) and are using a ConcreteModel, you can add the new element of the set and then add the a single new expression, indexed by the new set element.
If you can post a bit more on the use case, we can provide more guidance.
jpw