Your code actually works okay as long as you enter a number for each input. It's a little confusing because there are no prompts for each number in the set, just a blank line. If you happen to press [ENTER] instead of entering a number at any point, you'll get lots of errors.
You will want to change your code to test every input made by the user to see if it is a valid number, and only add it to the set if so. If it is a bad input, loop around and ask again.
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