I'm not quite sure what you mean by set up. Are you referring to the meringue stiffening, or the cookies becoming dry? I like to use a Swiss meringue for cookies, since heating the meringue in a double boiler pasteurizes the whites, essentially "cooking" them, so that all they have to do is dry in the oven. For a Swiss meringue, measure your egg white in a liquid measuring cup. Whisk them with twice as much sugar by weight. If you have 4 ounces of whites, use 8 ounces of sugar (a cup of sugar weighs 7 ounces, so 8 ounces is about 1 1/8 cups), then set the bowl (a heatproof one) over a pan of simmering water. Whisk them until they reach 140 degrees. Pour them into the bowl of a stand mixer, and whip them on high speed until they are completely cool. The meringue will be very firm at that point. Then you pipe them onto a baking sheet lined with parchment, or even drop them by the spoonful. I lament the demise of the pilot light in home ovens because it created the perfect temperature for drying meringues overnight. Alternatively, set you oven to its lowest heat setting, and put the meringues into it. Let them dry until you can break one open and it is dry to the center. This may take 3 or more hours, depending on how large or small your cookies are.
meringues don't need to set up. they get piped or formed onto parchment/silpat and baked off right then and there. Otherwise, they can deflate on you. They ARE picky about having their egg whites beaten just the right amount so they are not too soft or too stiff/dry. My technique is to beat them until an egg rests on the meringue mixture without sinking in.
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