It depends very much on your own style of play. Whenever I find a new unique/set item, I try it out for a little while before I decide on whether it would be worth me using. And if it turns out that it isn't really worth using at that point, I put it into my vault in case I might want to try it again later. Monsters can respawn quite quickly, so you'll never be short on opportunities to test different equipment combinations
From cradle to coffin... Shall my wickedness... Be your passion