You are correct, the SET Class Rating is not dependent on holding an SEP rating. Note that most SET aeroplanes require a specific class rating (ie Cessna SET) but one or 2, like the Malibu, require a type rating.
To gain an SEP rating you will need to pass a LST with a Class Rating Examiner or Flight Examiner. You then send the Form 1119 off to the CAA with the current fee (around £100 - see the CAA Scheme of Charges) and they send you a new page for your licence. Exactly the same process for the SET rating as well.