Wow! Hot topic! Thanks for everyone's opinions. BTW, I do set my seams...well, most of the time. But, only because I think it will be easier to press to the side the second time and lay just a tiny tad bit flatter...just a tiny tad...maybe a 128th of an inch. I know, all those fractions do add up in the end, but I don't sweat that small of an amount. Sometimes I don't set the seam, because I'm afraid of stretching that seam line during all those pressings, especially when it's on the bias.
IMHO, "embedding the stitches," is just a bunch of mumbo jumbo. (Sorry, I don't mean to offend anyone, but that term just doesn't mean anything to me...it's cryptic.) Physically speaking, the stitches don't embed themselves, so the scientist in me just won't buy that one. The thread may lie flatter, it may shrink, or stretch a little from the heat, but embed...nope...I don't think so. Just my opinion.