You can easily move documents in and out of document sets. This should be done while exercising caution as by design, if you remove or add a document from / to a document set - its inherited permissions will change.
When moving a document, you can specify if the document is independent and part of a collection or part of a document set.
To move a document, select "Move Document" from the desired document tile's menu:
Select "Part of a document set":
You can then browse for the desired document set and press "Move".
To remove a document from a document set, select "Independent document" to move it from a document set to one of your collections.