set phrase vs saying

set phrase and saying both are nouns.

Word	Noun	Adjective	Verb	Adverb
set phrase	Yes	No	No	No
saying	Yes	No	No	No

As nouns, saying is a hypernym of set phrase; that is, saying is a word with a broader meaning than set phrase:

set phrase: an expression whose meanings cannot be inferred from the meanings of the words that make it up
saying: a word or phrase that particular people use in particular situations

Other hypernyms of set phrase include expression, locution.

set phrase (noun)	saying (noun)
an expression whose meanings cannot be inferred from the meanings of the words that make it up	a word or phrase that particular people use in particular situations