I take it you mean to a group of people. I wouldn't say 'set out'. I would say: I am going to present my thesis.

You can say "I am going to present my thesis", if you are presenting your work in an auditorium to a group of people But if you are talking about presenting your thesis to your PhD (or Masters) committee, I think most people would say "defend" in such context, that is "I am going to defend my PhD thesis"