This still requires a number of steps, so here’s the rundown:
This first key point is that this feature is only available to Office 365 Enterprise plans. If you’re not sure which plan you’re on, check with an admin.
Note: You must be a Site Collection Administrator or a Site Owner to create or configure Document Set content types.
After you create and configure a Document Set content type, you must add it to the library where you want users to create their Document Sets.
To do this, go to Library Settings > Content Types (section) > Add from existing site content types