Kind of up to you. I just put together a 1945 birth year set (no proofs that year) and in order for it to not get too high, I ignored mints. Hey, wait a minute, proof coins were all Philadelphia in 1940...yes?
Yes, all proofs, (save for a few special "branch mint proofs, although many call them specimens), in the US were minted at the main coinage facility in Philadelphia until 1968. Then SF took over for most proof issue, (West Point ramping up later on). So a 1940 real proof set would be P mint proof coins. A year set is a privately assembled collection of all coins struck that year, and can be any mint you want. Remember, "proof" is a method of manufacture different than business strike, so coins that were never struck as a proof will never really be a proof set.
