Is it better to populate variables using SET or SELECT?
Don't pick one or the other strictly for performance. 

Pick based on what fits your style and development needs, as is advised in the conclusion to this excellent comparison between SELECT and SET (emphasis and minor formatting added):


  Best practice suggests not to stick to one method. Depending on the
  scenario you may want to use both SET or SELECT.
  
  Following are few scenarios for using SET:
  
  
  If you are required to assign a single value directly to variable and no query is involved to fetch value 
  NULL assignments are expected (NULL returned in result set) 
  Standards are meant to be follow for any planned migration 
  Non scalar results are expected and are required to be handled 
  
  
  Using SELECT is efficient and flexible in the following few cases:
  
  
  Multiple variables are being populated by assigning values directly
  Multiple variables are being populated by single source (table , view)
  Less coding for assigning multiple variables 
  Use this if you need to get @@ROWCOUNT and @ERROR for last statement executed