The sets are devotion bound and god bound, so you can only use them when you are on your devotion battle mode and if you chose to devote yourself to that set's god.
Set parts can be obtained at a very, very low chance during WoE after choosing a Devotion.
Q) Must I be in the Devotion battle mode for a chance to obtain parts during WoE?
No, you do not. You can be in any battle mode, but you have to have chosen a god beforehand.
Q) Can I use another god's set? What if it was on the same Alignment?
No, you cannot. God set parts are god bound, meaning that you have to be in your devotion battle mode and can only benefit and have the effects of set that belongs to the god to whom you devoted. You can 'wear' them, but they won't take effect.
Odin and Thor are both gods of The Order, but if you chose to devote to Odin, then the Warrior set will not have any effects on your character, even if it's from the same Alignment.
Q) Can I make the god sets outside of WoE?
More information will be revealed later =) Stay tuned!