You'd probably say, "I set my alarm for six". A clock is what you use to tell time, an alarm is what you use to wake yourself up in the morning.

They're both correct, but they have different meanings. 'I set the clock at six' means that it was six o'clock when you set the clock. 'I set the clock for six' means that you sent the clock to ring at six.

I set the clock for six. This would be the correct version.