the set do not get separated from one another.
some people even go an extra step and place the folded sheets inside the pillowcase to make sure everything stays together.
i have found this can cause extra wrinkling, and does not keep the set together any more than the first method mentioned, so i do not suggest this additional step.
now that you know how to fold clothes see the last part of the series, how to do laundry: put away clothes. 