This is the JP1 beginners forum. There's no such thing as a stupid question in here, so post away, but this forum is just for JP1 users and people considering JP1, non-JP1 users please use the appropriate forum above!
I hope you know it works like a shift key on a typical calculator, not like a shift key on a keyboard. You press the Set and immediately release it and then press the key to be shifted. You don't hold the Set key pressed while pressing the key to be shifted.