javascript/jquery to create a document set

I don't think you can do that directly.
What you can do is to use the /_layouts/Upload.aspx page and use an ajax file uploader.

What I would do:

1. Use an third part ajax file uploaded such as valums / file-uploader.

2. Find the ID of your library (list).

   var title = 'D';
   var ctx = new SP.ClientContext();
   var list = ctx.get_web().get_lists().getByTitle(title);
   ctx.load(list);
   ctx.executeQueryAsync(function() {
     var id = list.get_id().toString();
     // Use id here
   });
   

3. Use the found ID to tell where to post your files, something like

   /_layouts/Upload.aspx?List={XXXXXXXX-XXXX-XXXX-XXXX-XXXXXXXXXXXX}
   

And take it from there, if you open that url and include &IsDlg=1 it should be possible to see how it accepts data.