I'm not sure I understand you.

You can define any set of completion candidates, of any type, as a "saved
completion set". This tells how:
http://www.emacswiki.org/cgi-bin/wiki/Icicles_-_Candidate_Sets

You can save any such set persistently (when you create it or later). This tells
how:
http://www.emacswiki.org/cgi-bin/wiki/Icicles_-_Persistent_Completions. (If a
"saved set" is not saved persistently, it is saved in a variable.)