"Set" e.g. PF to PNF "set HDG 250." PM will dial in 250 degrees. It might not do anything.
"Select" e.g. PF to PNF, "select HDG SEL." Now the AFDS navigation/lateral mode is controlled by the HDG bug.
"Engage." e.g. PF to PNF, "engage autopilot A or 1."
Just one interpretation. Some SOP's might use the terminology slightly differently.