Yes! I am just starting to use Vault and have been using Sheet Sets for awhile now.
Here are a few tips that I have found useful:
Do not name your sheet anything that Windows would reject. So despite how much your engineers love to name things with "&" don't do it. It won't go into the vault.
Make sure all your Xrefs are named logically. Organize them at the start of your project.
Make sure to fix or remove any xrefs that are not valid in your files before attempting to check into the vault.
You can either check the whole sheet set in at once or do it one sheet at a time and add them afterwards to your sheet set.
Check the options you have when checking in your sheet set for the first time. There is a preserve file locations option, and an option to organize your sheet set or keep it in all one folder.
The cleaner you can keep your project before it goes into the vault, the better off you will be later on.
Hope this helps!
This appears to a older post (2005) that has been revived.
AutoCAD Vault Workgroup (and above) does have an integration to sheet set manager.
It will manage the relationships between sheets and drawings. It will also index and allow searching of sheet properties.
here are some links that describe the integration and the google search that I used to find them.
http://www.youtube.com/watch?v=xhu-wIuuCRc
http://www.youtube.com/watch?v=FQ2V8NeFQpM