I honestly can't see a difference when I set a seam first and when I just press to one side. Does anyone else actually see a difference? I'm beginning to think it may depend on the type of thread you use. Now that I am using Aurifil 50wt there seems to be no need at all to "imbed" seams before pressing to one side.
In any case, if you want to "set" seams you can set them whenever you like. The seams do not have to be warm when you press them to one side.