Recorded sets are saved into your iTunes File Sharing. You can access them via your playlists on the right or iTunes:
1. Open iTunes and click on your device.
2. Click on Apps on the left.
3. Scroll down to the iTunes File Sharing section and drag&drop the set you want to your Desktop (sets start with "StereoSun_").
If you are still having trouble finding iTunes File Sharing check out this link: https://support.apple.com/en-us/HT201301.
To delete a recorded set, click on it in iTunes File Sharing and press delete on your keyboard.