Without a doubt, it would be best to use "a set of needles"; "needles set" is definitely incorrect, whereas "needle set" has the risk of sounding like informal jargon and can be confusing to the reader unless more context is given beforehand. As for which of these conform(s) to English grammar, "a set of needles" is the only one that works formally. If you ignore the informality of "needle set" and invalidity of "needles set," they all essentially carry the same meaning.
