Thanks to PEP0448 it works these days, but you will need to upgrade to 3.5:
>>> my_list = [1,2,3,4,5]
>>> my_set = {*my_list}
>>> my_set
{1, 2, 3, 4, 5}
However, set(my_list)this is an obvious way to convert a list to a set, and therefore it should be used.