How do I create a button on the ribbon and how do I move the selected item(s) from the list/library into a Document Set?
Here you have something quite similar (just few changes needed):
Basically you need two things:
For that last part you can use info provided here: How to programmatically create document set, add or move files, GetDocumentSetById
For more info on Ribbon customizations I recommend reading SharePoint 2010 Ribbon Customization series by Chris O'Brien (@ChrisOBrienMVP).
Addition (thx goes to @StuartPegg):
Some info on how to enable Ribbon Button when item(s) in list is(are) selected: