Why don't you create the document set first and then upload the files to the document set using multiple document upload? No need to restructure the whole document library. This doesn't make it necessary to change the content type from folder to document set. You cannot easy change this becaus it will have the content type assign to the previous folder but the schema of the folder won't be update.
You should pay attention that you cannot have nested document sets like you have it in a folder based structure. Document Sets can contain folder but they cannot contain document sets.
As a solution, you can make a bulk upload using Explorer View or Mulitple file upload (this can handle folder upload too) and then move the files to the specified document-set. You can also go to site settings > Content and structure to use this feature to do you move/copy. This feature make you changing more quickly.