So many different suggestions, all worth trying on sample sets before deciding what works best for you.
I set my seams from the wrong side of the fabric, then press them to one side from the right side of the fabric by bumping the straight edge of the iron right next to the seam ridge to lay the strip over flatly. When they're all done, I press the whole set from both the front and the back sides. Pressing from the front eliminates any and all unintended pleats or folds.
In general, strip sets do not 'warp' if they're pressed with the set running across the ironing board instead of along the ironing board. Irons also heat higher on a dry setting than a on steam setting.