Character sets allow you to set keyframes for a number of parameters at the same time. They provide a way to keyframe entire poses in stead of the changes to individual controllers.
You generally do not want to include the master controller in your character set, something I did in the video above.
When you start to refine your animation, you want to offset the keyframes in time so a pose is not hit on a single frame, and leave the character set to adjust individual parts of the animation