That isn't possible.  You will need to create a user file, backup file or library file and then the live sets will be saved with the other content.

See p.378 of the operation manual as it shows the components saved for each file type.

CAUTION: when you reload either a backup file or a user file it will replace your existing user content. Reloading a library file will NOT replace the user content.

So the best option depends on your specific use case. The easiest way to pack everything up to take it to a gig and load it would be to create a library file.

Hi, take in count that library files contain only the first Live set user bank, 256 slots, if you are using multiple live set bank, only the user file or the backup file can allow you to load all.

If you have some library's loaded on your MODX M with user live set pointing to library performances, you need to use a backup file.