I got them from the Fjords different floating air fortresses (You can get 1 whole set in each one). You have to carefully skim over nearly every single chest floating on the fortress islands. It can be time consuming. But rest assured the whole set is on those stages.. outdoors. I personally like Scorpion best so far. The Ulthring set ..you get 1 piece at a time from the main leaders inside each of the fortress headquarters. This is a hard set to complete cause it takes longer.

Note that Kiera Fortress didn't seem to have a set outside.