[Zubersoft]

It depends what your requirements are. If you've already imported all the PDFs, and the setlist just needs to pick the songs that already exist in the library, then you can accomplish this by creating a .mss file, which is just an xml file that lists the various songs. You can view one of these by going to the setlists tab, long press or right-click your setlist to select it, tap Share->Export Song list and open up the .mss in a text editor like notepad++. 

If you want to be able to import the PDFs and create the setlist all at once, just put all the files in a folder, batch import that folder (Import->Batch Import) and specify the setlist name in the setlists field. 

Mike