onion sets are planting in the spring, not the fall, so this is the wrong time of year. You may be able to plant onion from seed in the fall and overwinter them when they're small (we do that here in CA), but you need fairly mild winters for that.

For overwintering leeks, you should probably start them from seed now. I haven't seen leek 'sets', though I have seen leek plants available in the spring about the same time that onion sets and transplants are available.

Sowing leeks and onions is very easy, just till a couple square feet of bed (or set up a large pot) sprinkle the seed and cover with 1/2" more soil. In the early spring you transplant the strongest plants to where you want to grow them out. Leeks and onions are very tolerant of transplanting.

'American Flag' is a good overwintering leek that is very common in garden center seed racks.

Alternately, elephant garlic is a close relative of the leek, and you could get some seed cloves for that and plant them in the fall too. I had good results with elephant garlic from the grocery store, though it was $4 for a head with only 5 cloves.

Though I've never seen leek 'sets' for sale, leeks will make a small bulb in the summer when they go dormant, I've found that replanting these bulbs produces larger plants that I get in a single season from seed, though they will bolt if you leave them in too long.