"Set the yards" means arrange the sails in preparation for leaving the docks/shore/what have you: "make sail" means to actually go out into the ocean/lake. With regards to older sailing vessels (tall ships, square riggers), "man the yards" meant to send men up the mast and out along the yardarm of a square-rigger in preparation to making sail. "Making sail" meant either unfurling the sail from the yardarm, or un-reefing existing sail so as to add more sail.
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