We initiate the study of online problems with set delay, where the delay cost at any given time is an arbitrary function of the set of pending requests. In particular, we study the online min-cost perfect matching with set delay (MPMD-Set) problem, which generalises the online min-cost perfect matching with delay (MPMD) problem introduced by Emek et al. (STOC 2016). In MPMD, m requests arrive over time in a metric space of n points. When a request arrives the algorithm must choose to either match or delay the request. The goal is to create a perfect matching of all requests while minimising the sum of distances between matched requests, and the total delay costs incurred by each of the requests. In contrast to previous work we study MPMD-Se...