If you have the media already listed in BE (in the All Media section of the Media screen), you can simply right click the media, select Move to media set, and choose the media set in question. Or you can drag and drop.
If the media isn't already listed, inventory the tape drive, label the media, and move it.
You don't actually need to move new media into a media set. If you leave it in scratch media, it'll be assigned to the media set when the backup uses the tape.