In normal playthroughs I use Shift, because those aren't meant to be difficult.
But for most challenges I do, like Monotypes, Mono-Colors, Nuzlockes, etc, I play on Set, because having to take a hit to switch something in makes it more interesting. The only ones I don't are Wedlockes, because only having two Pokémon to use already makes it restricting enough. I saw some people on Marriland use that, and let me tell you, with my Pokémon Center restrictions X Wedlocke back in December, and then Marriland saying he finds the Set mode too restrictive for Wedlockes, I certainly learned my lesson big time.