If you buy it from another player, you can sell it to the Grand Exchange immediatley after.
It's only when you buy something from the Grand Exchange, you have a 4 hour penalty.
I'm not sure about sets, I'm sure the same rules apply as it's part of the Grand Exchange.
You shouldn't get the four hour limit if you buy the parts separately and convert them into a Box Set. Technically they're both different Items and Merchants use this strategy sometimes when working with the GE.