First we will discuss the old-fashioned way: Grinding for them. I am patient to a fault and I wanted to rip my hair out at various points trying to get my epic set this way, but it was rewarding after I did it.
Firstly, a Note About Tokens
Think of tokens as checkpoints in a way. When you complete a certain section in a level, you earn a token. For instance, The Hall of Heroes is broken into 3 sections, 1-1, 1-2, and 1-3. By completing 1-1, you will receive a token. By then playing on in the level, you will get another for completing 1-2, and so on and so forth. The importance of tokens cannot be stated enough. The more tokens you have, the more likely the Boss (and, in some cases, Elite enemies) is to drop an Epic Blueprint. Long story short: If you think that you can do 1-3 over and over to skip most of HoH to do Grendel runs, you will not likely ever get an epic piece.
I acquired my first piece off of Hel, the final boss in Helheim. I then started to do Helheim runs and got one more piece after about 5 more runs. However, Helheim can take quite awhile to beat, so at the advisement of others here on GameFAQs (thanks guys), I then switched to doing Grendel runs on Hall of Heroes. After a good 25 or so run-throughs of slaying and re-slaying Grendel, I had all of my set. I can also quote the dialogue of the Berserkers, Baldur and the Wolves like a preacher quotes Scripture, so be prepared for a lot of runs if trying this method.
1. The Grendel (Hall of Heroes AKA HoH) method of acquiring your epic set:
The easiest thing to do here is select "Continue Campaign" from the main menu and while in Aesir, go to one of the many terminals and select "Replay a Past Level" from the terminal. Then, select Hall of Heroes and start from the beginning (1-1). Remember, you want as many tokens as possible so the Boss and Elites will have a higher chance of dropping an Epic Blueprint. Play through and skip anything unnecessary such as secret arenas and wells, to save time. Unless you want to actually do all of that for bounty or other drops, but not doing the extra stuff will save you a ton of time. Run staright through to Grendel and pulverize him. He's pretty easy and quick to get to (provided you skip unnecessary wells and arenas). I got the remaining 4/7 pieces needed for my set off of him over 25 runs in 2 days. i have also seen people while playing co-op with me receive a piece of their Elite set off of the Elite Goblins ( the ones that rush at you a lot faster than the others and ususally have a red shield around them) and off of Grendel. I played by myself just because the drops are hard to get to drop in the first place, and I didn't feel like competing with others for them.Others also swear by making a co-op game and setting the 2nd slot to "Private" and playing through alone. The logic here is that there will be more enemies, hence, a higher chance of an Epic Blueprint drop.
2. The World Serpent (3-4) Conveyor Belt Runs
This method involves going to a terminal, and selecting World Serpent 3-4 from the level select list. What this allows you to do is to access the conveyor belt area quickly and the great thing about the belts is that they are chock full of Elite Goblins. I have never done this myself, as I already had my epic set before I found out about it, but it seems to work for a great number of people. On the conveyor belts, many Elite Gobs will rush you, and they all have a much higher chance of dropping an Elite than regular Gobs. Fight them all, and Quit then reload it again until you have some sweet Epic badassery. The downside of this is that you don't have all the tokens, and that probabaly hinders your drop chance for an Epic, but this method makes up for that because you can do this fairly quickly over and over again.