You can list multi-volume book sets as a single listing that includes the whole set, or you can list each volume individually.
You may also want to include in your book description a note regarding the possibility of needing additional postage, post-order. The postage cost to the customer is automatically calculated as though it were only one book being shipped, just like any listing for a single book. Your postage rate is taken directly from your shipping matrix. Many sellers find they need to ask for more funds to ship a whole set after it's ordered. You have the option to request additional postage for any order which is open (still at "Ordered" status) by using the "Adjust charges" option.
If you decide to list each volume individually, you won't have the issue with postage, but you will need to specify that each listing is an individual volume of a set, and price accordingly. Of course that also means being willing to break up the set in order to sell individual volumes.
Please bear in mind that if you decide to list the whole set as an individual listing, your book price should be what you are asking for the whole set.