Copying the data from the vector to the set will be slower, because it will involve creating a data structure on the heap (typically a red-black tree), while sorting can be done in-place (effectively using the stack as a temporary data store).
#include <iostream>
#include <vector>
#include <set>
size_t gAllocs;
size_t gDeallocs;
void * operator new ( size_t sz )   { ++gAllocs; return std::malloc ( sz ); }
void   operator delete ( void *pt ) { ++gDeallocs; return std::free ( pt ); }
int main () {
    gAllocs = gDeallocs = 0;
    std::vector<int> v { 8, 6, 7, 5, 3, 0, 9 };
    std::cout << "Allocations = " << gAllocs << "; Deallocations = " << gDeallocs << std::endl;
    std::set<int> s(v.begin(), v.end());
    std::cout << "Allocations = " << gAllocs << "; Deallocations = " << gDeallocs << std::endl;
    std::sort ( v.begin(), v.end ());
    std::cout << "Allocations = " << gAllocs << "; Deallocations = " << gDeallocs << std::endl;
    return 0;
    }
On my system (clang, libc++, Mac OS 10.8), this prints:
$ ./a.out 
Allocations = 1; Deallocations = 0
Allocations = 8; Deallocations = 0
Allocations = 8; Deallocations = 0
Building the set takes 7 memory allocations (one per entry). Sorting the vector takes none.