If you're playing D2:DKS, then the set pieces are all over the game world now instead of specific to fortresses. I've found pieces to Archmage, Hunter and Scorpion way before venturing in any fortresses.
Only Ulthrings is still the same (mind-reads to get it)
If you're playing D2:ED then the pieces are strewn in chests all over the place in the fortress zone.
