Not sure where to put this, but how come the Cheapo editor will only open and save *.lst files when all of the sets are *.set files; how do you open them? Does everyone else just have some kind of other editor that does edit these files, or is there something I've missed...?

It's by design that you can't edit *.set files.  This is how the set creation process works:

1) You go to the "Set" menu's "New" to start a new "set list".

2) You create/edit individual levels and add them to the set list.  You save you progress on the set list by going to the "Set" menu's "Save (As)" etc.  This creates the *.lst file.  The *.lst file is actually just a list of filenames.

3) When you feel your levels are ready to distribute, you go to the "Set" menu's "Create".  This will generate a *.set file from the *.lst file, so if you have XXX.lst it will now generate XXX.set.  The *.set file is the thing you give to people for them to play your set.  It contains copies of the levels themselves, unlike the *.lst which is just a filename list.

In other words, whenever you create a *.set file, what you are doing is have the editor look at your *.lst file, and then for each level file listed in the *.lst file, it will copy the level file into the *.set file.

4) Now, suppose you found a problem with one or more of your levels.  All you have to do is to go back to those levels' files and edit those levels.  Then recreate the *.set again by using the "Set" menu's "Create".  A new *.set file will be created, and it will have your edited levels.

A good reply, but you omitted one vital point.

NEVER use the "Create" menu command without having loaded a set first. Even if you've loaded and changed a level in the set, you have to load the set. Otherwise the program will crash.