Forgive my ignorance, but what is an infusion set?
for most pump users, it's the part that sticks through your skin to deliver insulin. most infusion sets are small teflon tubes (cannula) held in place with a band-aid type sticky tape. if you have a pod pump, the tubing and cannula are covered by the pump frame and so you can't see it. The recommendation by the pump manufacturer is: you should change your infusion set every 3 days.
here's an example of an infusion set by medtronics
but there are many types including metal needles.
regarding the original post - changing the sets, no, I like a well worn, proven set to the first 2 hours of a new set any day.