It all depends on what you're trying to accomplish. Using your example verbatim, it's faster to use lists, as you don't have to go through the overhead of creating the sets:
import timeit
def use_sets(a, b):
return [set([b]), set([a, b])]
def use_lists(a, b):
return [[b], [a, b]]
t=timeit.Timer("use_sets(a, b)", """from __main__ import use_sets
a, b = range(2)""")
print "use_sets()", t.timeit(number=1000000)
t=timeit.Timer("use_lists(a, b)", """from __main__ import use_lists
a, b = range(2)""")
print "use_lists()", t.timeit(number=1000000)
Produces:
use_sets() 1.57522511482
use_lists() 0.783344984055
However, for reasons already mentioned here, you benefit from using sets when you are searching large sets. It's impossible to tell by your example where that inflection point is for you and whether or not you'll see the benefit.
I suggest you test it both ways and go with whatever is faster for your specific use-case.