Hi David. Set yourself a goal is fine, but you are just missing an article with the second example. Set a/the goal for yourself.

Hi David! The correct expression should be “Set a goal for yourself”. The word “yourself”, is called a reflexive pronoun. Reflexive pronouns are used to express that someone is doing something on his/her own. Examine the word yourself =your +self. The word “for” is a preposition. A preposition is a word or a group of words used before a noun or pronoun to show direction, time, place and location. In this example, “for” is showing direction. Where is the goal directed towards? The goal is directed towards you.

I think "set a goal for yourself" is better, but the best is " set your goals".

One possibility that no one has mentioned so far is that in many instances it would be sufficient to simply say "set a goal." The context of the conversation might make it obvious that the speaker is suggesting that the listener set a goal for himself.