Shampoo & setting the hair is the healthiest route to go! There is no direct heat being applied to the hair strands. You can have relaxed(permed) hair or natural hair. Anyone can roller set their hair into a style.
You can use: setting lotion,wrap foam, or just a leave-in conditioner to set your hair with. Any time you shampoo your hair & dry it in a style is a set. You don’t even have to use a roller. A flat wrap is also considered a set. Even if you did a braid out (on natural hair),that is a set. The hair is shampooed. Braided and then dried. You could have sat under a dryer or air-dried.