Confused how Classes work?

[Niwashi]

will I get a pop up tutorial explaining how to use and set up gear sets?

Yes. IIRC, I think the Gear Sets are unlocked at the same time as the ability to add additional classes is unlocked, which is when you complete your level 10 class quest on your original class. At any rate, when it's unlocked, you'll get a tutorial pop-up to explain it.