Michiel,
Changing data sessions can be a dangerous thing to do if you do not restore the data session properly. A better design might be to build your Methods class to be a light weight object and then in your form class put one them in the form. Then make your calls THISFORM.oMethods.SetSets().
This way the methods object is in the same data session as the form.
Another alternative is to make your class a subclass of Form and give your oMethods class a MyDataSession property, then code the SetSets method like this;
LPARAMETERS pnDataSession
THIS.MyDataSession = THIS.DataSessionId
SET DATASESSION TO pnDataSession
SET DATASESSION TO THIS.MyDatasession
RETURN