As for setting the seam first, I don't. I iron my seams to one side and do it in the direction that the following block/piece seam will nest into it. I figure that since I iron my seams I am 'setting' the threads, since I am ironing over the entire seam when I iron it over to one side or the other.
I find that my seams lay flat better if I'm not 're-ironing' the seam to lay in a different direction - as I would be doing if I ironed it flat to 'set' the seam and then ironed it to one side or the other.