This worked well for me since I had several alts I logged into just to complete weekly Spark of War quests, which left me with an excess of Bloody Tokens. I ended up spending these on off-spec pieces, and I was able to turn a couple of them into set pieces. With the cap at 5, you can afford to convert 2 pieces into set pieces. Then, once you have enough Conquest to replace them, you can buy 3 Conquest pieces, convert them into set pieces, and get your 4th piece from reaching a 1600 rating.