Or just 'pajamas'. I'm going to put on my pajamas. In need to buy some new pajamas. These pajamas need washing. All that is fine. On the other hand, if you have to decide between 'a pair of' and 'a set of' it would be 'a pair of'.

A pair of pajamas would be one set A set of pajamas would be 2 or more

A pair of Pajamas.