How can people farm for set pieces in diablo 3?

http://www.icy-veins.com/d3/barbarian-furious-charge-physical-build-with-the-legacy-of-raekor-and-immortal-king-patch-2-4-1

And many others said that you got to use this set or that set.

I mean, just finding a piece of a set is difficult enough. Is there anything in the game that make things easier to find set pieces? Is it crafted? Do they just drop randomly?

There are many ways of getting the set pieces you want now, gearing up has never been easier.

I will list them in the order I prefer:

1. Seasons Only: Collect your free set pieces. (For this current season (Season 6), the goals for that are, reach level 70, kill Izual on t2 or higher, and solo a GR 20). This is the easiest way to get your starter set but its a one time deal only, once per seasons.
2. Farm on TX with a 4 player loot share group of the same class. Outside of the free set, this is the fastest and easiest way of getting what you need.
3. Convert existing set pieces into another random piece in the set with the cube. This way, even if you find 6 immortal king's gloves you can still convert them to the rest of the set. Cost is 10dbs 10 souls.
4. Gamble for whatever set piece you are missing with Kadala. 25 shards per armor piece, 50 per ring, 75 per weapon, 100 per amulet. (I don't recommend gambling weapons nor amulets, for those, do step 5)
5. Upgrade rares into a random legendary with the cube, cost is 25 blue/white/yellow mat and 25 dbs.

I recommend using step 5 to only upgrade weapons as they cost a lot of blood shards to gamble from kadala so its the most worthwhile to do. Also a good weapon is the biggest DPS upgrade.

Amulets I would use the set conversion formula on instead, and use the reforge legendary formula to get a good ancient one.