Usually it's not important to tune every line of code for utmost performance.
As a rule of thumb, if you need to look up more than a few times, creating a set
is usually worthwhile.
However consider that pypy might do the linear search 100 times faster than CPython, then a "few" times might be "dozens". In other words, sometimes the constant part of the complexity matters.
It's probably safest to go ahead and use a set
there. You're less likely to find that a bottleneck as the system scales than the other way around.
If you really need to microtune everything, keep in mind that the implementation, cpu cache, etc... can affect it, so you may need to remicrotune differently for different platforms, and if you need performance that badly, Python was probably a bad choice - although maybe you can pull the hotspots out into C. :)