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tagnr: Set(0,1,9,10,11,12,13,14,15,16,17,18,19,20,22) of integer;                    

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type
  TSomeInts = 1..250;
  TIntSet = set of TSomeInts;                    

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var
  tagnr: TIntSet;

begin
...
tagnr:=[0,1,9..20,22]            
...
end;                    

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var
  aIntSet: set of (0..22) = [3,1,20,7];                    

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type
  TIntSet = set of (0..22); 
..
var
  aIntSet : TIntSet = [3,1,20,7];