Yes, you have to create the majority of set items. You can do this by gambling the base item from Gheed, cubing the item with an upgrade dust (if necessary), then cubing it with a set dust. When it comes to making items that share the same base as other items, such as Angelics, you unfortunately have to keep cubing rings/amulets with set dusts until you get lucky (you can buy magic rings/amulets from Gheed).
Similarly, to make an item superior/socketed/ethereal/etc. you need to use the appropriate dust from Gheed; all of the dusts should be labelled, but just in case that's not the situation for you, I'll post a screenshot to give you a better idea of where they're located.
To activate your Torch/Annihilus, all you need to do is put it in your cube and transmute it.
Also, Siggard's doesn't exist on this realm, and you can't make it.
Screenshot of dusts in case they don't have names or descriptions in your game: