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I am not sure whether it is elegant but you can do it in a straightforward way:

sage: def R(f,S):
....:     def f_restricted(s):
....:         if s in S:
....:             return f(s)
....:         else:
....:             raise ValueError, 'Element not in the set'
....:     return f_restricted
....: 
sage: g = R(lambda x :  3*x, [1,2,3])
sage: g(2)
6
sage: g(5)
ValueError: Element not in the set

You can also make R a Python decorator.