set off含开始(旅行、赛跑等）的意思。
set out意思是从某地出发上路。
二者的偏重点不一样。
相关例句：
A visitor arrived just as we were setting out for the airport.
我们正要前往机场时来了一位客人。
He proposed to set off immediately.
他建议立即动身。
Be careful that you don't set the fireworks off by mistake.
当心点, 别弄错了引起那些爆竹爆炸。
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