Yes, in order to get the artifact set bonus you must have 2/4 pieces of the same set.

I'm assuming you're in the "early game" (Under AR 40-45). What I would recommend is prioritizing the highest rarity artifacts with good Main Stats on your Sands, Goblet, and Circlet (Flowers and Plumes have fixed Main Stats), then Sub Stats on your DPS. In general, activating 3 star artifact set bonuses is not worth the stat differences between simply using 4 star artifacts with better stats. I'm sure there are some cases where using a 3 star artifact set would be better than using higher rarity artifacts with good main stats, but I don't think the difference would be too big and it wouldn't be worth the hassle of min-maxing 3 star artifact sets.

Once you hit AR 40 (45 is even better) you can start to farm domains for 5 star artifacts and then you can worry about artifact sets.