Most sets are now analyzed when they are cataloged – meaning that a search in SearchBox will find at least volume names, if not every item in the volume. This has not always been the case.
To find items within sets, see the New Grove Dictionary of Music and Musicians (or Grove Music Online). Entries for composers include a works list at the end of each article. If the composer has a collected works edition, the contents will be indexed here.
The New Grove dictionaries are available through Grove Music Online, but if you would prefer using the print collection, you can find them in the Music Stacks.