The most common and most likely answer to this crossword clue is the 5 plus 9 letter word RADIO BROADCAST
I've seen this crossword clue in The Sunday Telegraph
R
A
D
I
O
B
R
O
A
D
C
A
S
T
More clues leading to the result RADIO BROADCAST
Buddy explains!
The straight part
We know that "Play, for example, we hear, with appropriate set" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case play, for example, we hear, with appropriate set = radio broadcast.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.