Setting up a hitter depends on a lot of factors - it depends on the hitter and the pitcher.
I'm sure you'll get some good advice on this, so I'll just make a single point.
What's the best pitch on an 0-2 count?
In high school, too often I see that classic 18-inch outside pitch. The pitcher quickly gets ahead of the hitter ... the coach says something like "Be smart!" or "Nothing too good!" ... the catcher sets up a mile outside - so far, in fact, that the batter can plainly see what's coming next ... and the pitcher obliges by throwing the pitch way outside, nowhere near a strike.
Has anybody actually ever swung at that pitch?
It's not even a good set-up pitch.
The only thing a pitch like that accomplishes is quickly bringing the count to 1-2, nothing more.
If you watch a major league game, and pay attention to the type of pitches these guys throw on 0-2 counts, you might be surprised how often they go after the hitter and don't screw around with pitches that accomplish nothing.
If it's not a strike, at least, it's a pitch that is tempting enough to swing at. It's what they call a "pitcher's pitch."
And, yet, sometimes they throw a pitch that, if not swung at, would actually be a called strike.
For some reason coaches think that anytime a batter gets a hit on an 0-2 count that the pitcher has done something wrong. The pitcher is frequently severely chastised. It doesn't seem to matter that it may actually have been a pretty good pitch -or- that the batter did a great job of hitting. Consequently, the pitcher just throws the ball a mile outside to please his coach. But, eventually ... sooner or later ... he is going to have to throw something the batter could hit.
I've seen pitchers get 0-2 counts and then fiddle around, being too carefully, and work it to a full count. Or, worse yet, actually end up walking the batter. Nothing will cause a coach to pull out his hair more than that.
Word to the Wise: Don't pitch timid. Don't be afraid to go after the hitter when you're way ahead in the count. And if you're going to waste a pitch, do something that is logical; like throw an eye-high fastball on 0-2 with the intent of changing the batters eye level so that you can follow it up with a good overhand curve.
Go get 'em!