Put them in a mesh bag, like an onion bag from the store. Hang in a cool, dry, airy dark place. Perhaps a basement.

Last year I bought some sets (the ones that come tyed together in packs of 50) from a local greenhouse and was very impressed with how they had thrown the sets in some planting mix/starter mix in a large planter box on the outside of one of their greenhouses which was protected with a pergola. Now this was later in the spring (possibly May even June). I was running all over the country side looking for onion sets because I had procrastinated and they were gone. So I know it was fairly late. My point is, this year I'm buying them as soon as they arrive in the local greenhouses and throwing them in a pot in a nice warm sunny place until they can be set out. The sets I bought last year were so healthy and did very well in our garden.