In Delphi, is there a way to dynamically build a 'set of char'?

In Delphi, is there a way to dynamically build a 'set of char'? I want to build a Set Of Char by moving though a data base and retrieving single characters and building a Set of char.
mychars set of char;

while not eof do
begin
   mychars[] := fieldbyname('data').asString[1];
  next
end

This obviously doesn't work.  

I have tried building wstring = '['O','R','T'] and assigning myChar := wString
and that doesn't work either.