We...I'm not sure about yourself...and you haven't described how you are trying to filter the sets, so I wouldn't be able to assist.
I think you asking if someone can show you how to make a chain. See an iptables manual:
http://www.iptables.info/en/structure-of-iptables.html
or
https://www.safaribooksonline.com/library/view/linux-server-hacks/0596004613/ch04s06.html
I was just working on copying and pasting a basic rule, though:
Placed in Startup (/etc/rc.local):
#SEE http://www.team-cymru.org/Services/Bogons/bogon-bn-nonagg.txt
ipset -A bogons 0.0.0.0/8
ipset -A bogons 10.0.0.0/8
ipset -A bogons 100.64.0.0/10
ipset -A bogons 127.0.0.0/8
ipset -A bogons 169.254.0.0/16
ipset -A bogons 172.16.0.0/12
ipset -A bogons 192.0.0.0/24
ipset -A bogons 192.0.2.0/24
ipset -A bogons 192.168.0.0/16
ipset -A bogons 198.18.0.0/15
ipset -A bogons 198.51.100.0/24
ipset -A bogons 203.0.113.0/24
ipset -A bogons 224.0.0.0/4
ipset -A bogons 240.0.0.0/4
In /etc/config/firewall:
config rule
option name 'Drop-Bogons_In_WAN'
option family 'ipv4'
option proto 'all'
option src 'wan'
option extra '-m set --match-set bogons src'
option target 'DROP'
Is there a reason you cannot simply place the next rule in order - and specify a: protocol, outbound/inbound interface, mark the packet, etc.?