The Named Sets in SSAS isn't quite like the named Sets in MDX. In SSAS, the use seems to me to be limited to listing dimension members, not creating reports that combine dimension members with measure. This limited use can still be useful as it allows you to create a set and then set the options to show every row (or column) so that Excel based reports have a consistent format.

You create these in the calculations section. The result then appears under the Named Sets in the dimension to which the set belongs unless you have specified a specific display folder. Here are two examples of how I've created named sets. The first I used the warehouse identifier (hence the "&" symbol). The second I used the actual name of the client, though I have dotted the actual name out.

This took a bit for me to figure out. It's more abstruse that I would have liked, and I'm not sure I've grasped the full range of possibilities. Maybe someone else would like to weigh in and add something.

{[Primary SKU].[SKU].&[700],

[Primary SKU].[SKU].&[717],

[Primary SKU].[SKU].&[522],

[Primary SKU].[SKU].&[591]}

{[Campaign].[Client].[...],

[Campaign].[Client].[....],

[Campaign].[Client].[.....]}