ENH: Add set_index to Series
- [x] closes #21684
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] examples for series.set_index
- [x] whatsnew entry

Following https://github.com/pandas-dev/pandas/issues/21684#issuecomment-401584844, I unified the method to `core/generic.py`. If this is approved in principle, I'll write some tests (both for DF/Series) and the whatsnew. On that note, it seems to me that `df.set_index` - particularly its kwargs - are basically untested. The only tests I found are:
- `pandas/tests/frame/test_indexing.TestDataFrameIndexingDatetimeWithTZ.test_set_reset`
- `pandas/tests/frame/test_indexing.TestDataFrameIndexingUInt64.test_set_reset`

both of which don't test any of the kwargs.
