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If you want to collect your sets into a list, you can start with the empty list, and append your sets to that list:

sage: L = []
sage: L.append({1,2,3})
sage: L.append({12,13})
sage: L
[{1, 2, 3}, {12, 13}]

At the end of the day, you can save that list on your disk:

sage: save(L,'/path/to/my_list.sobj')

The other day, you can load that list again:

sage: L = load('/path/to/my_list.sobj')
sage: L
[{1, 2, 3}, {12, 13}]

Then continue to append sets into it:

sage: L.append({123})
sage: L
[{1, 2, 3}, {12, 13}, {123}]

Then sage it again (on the same or a different file if you want to keep the history):

sage: save(L,'/path/to/my_list.sobj')

And so on.