Set aside cards (except Lost Souls) go with the cards they set aside and are discarded when the cards return. AFAIK
I don't, however, remember what happens if one of them is discarded. I've heard it said the rest would get stuck in set aside limbo, I've also heard that the rest return and any gains that would have been given upon return are cancelled (i.e.: no drawing with a 1-turn feast, no banding gain with Gathering, etc.). I don't know which of these ended up being the official ruling.