You can add sets to your Wanted List in two different ways. You can either add the set as a whole by clicking on "Add to my Wanted List" from the catalog entry or you can part out a set
to your Wanted List, which will add all of the individual parts and minifigs to a Wanted List (as long as the set has been inventoried). It takes a few steps, so I will list them with screenshots for reference. For example, let's say you want to add all of the parts for the Cafe Corner set to a new Wanted List. From its catalog entry page, here is where you can find these links:
In Step 1, you can select an existing Wanted List or you can create a new Wanted List for the set items. Click on "Submit for Edit" to go to Step 2 and to see all of the inventory items and edit them. You can add remarks, change the quantity or remove items you may already have.
After you have edited all the items in Step 2, click on "Verify" at the bottom of the page where you will be taken to Step 3, which shows all of the edits/comments you have made. Click on "Upload Items" at the bottom of the page in Step 3 to finalize the process and add these items to a Wanted List.
You can view the items you have added in the Wanted --> My Wanted List