Basically you can create a big archive in which you put all the set images (themselves zipped). All of this has to be in "store" mode:
So the full path for sets looks like this:
Basically, you can put the entire game resources inside zips, as long as the content of the zip retains the structure of the "normal" folders
Note that it would also be possible to have a "sets.zip" file with all images inside it (without an additional layer of zips), but I don't recommend it, as every file in the first zip is indexed, and if you have thousands of files, that can easily reach several Megabytes of Ram used just for the index.
Long story short, if you use the structure I described above, you will have all your set zips inside another zip, which means you only have one file to copy to your sdcard.