In Selection Sets palette click green (+) button to create selection set and rename it if desired.
Any time you want to invoke this selection set simply click in the first column next to the selection set. Observe a red check indicates this set is active and all the objects in this set are highlighted in the scene.
To deselect the objects in this selection set click on the red check. Observe the red check disappears and all the objects in this set are no longer highlighted in the scene.
You can select multiple selection sets and all objects from all selection sets are highlighted in the scene.
To add additional objects to an existing selection set:
Select an existing selection set from the Selection Sets palette, (red check mark in first column).
With Pick tool hold Shift key and select additional objects.
In Selection Sets menu click on the selection set name and it should highlight blue, then click the Options button and choose Update From Picked Entities.