Whether you choose to use oil-based makeup where setting is almost required for a finished look, or water-based makeup where setting transforms the makeup from looking finished to being performance-ready, having knowledge about which products to use and how they will affect your makeup is invaluable.
Oil-based makeup requires powder to be "set." Without the application of powder post-paint job, the makeup remains sticky and shiny. Because of its oily nature, it will not dry on its own, and requires powder for a matte finish and to feel dry to the touch.
It is possible to purchase professional setting powders for makeup, such as Ben Nye's Neutraset Powder. However, a cheap and virtualy equal alternative is baby powder. Dullness of color is not significantly increased with the use of baby powder, and when you weigh in the difference in cost (in baby powder's favor), it's nearly a done deal. See the example below:
Powder should be applied liberally. There is virtually no such thing as "too much powder." Use a large powder brush or powder puff to dust powder heavily over the entire painted area. It may help to press in the powder using the applicator or your fingers. Once the painted area has been sufficiently covered, dust off excess powder using the applicator. I prefer to use a smaller powder brush with stiffer bristles, since it fits better in the corners of my eyes and forces the powder away from my face, which very soft bristles may not accomplish sufficiently. Absorb still more excess powder by pressing a moist washcloth onto your face, or using a generic spray bottle to spritz your face with water, coupled with a wash cloth to lift off moisture.
Powdering has the tendency to make colors appear dulled. Using water to absorb excess powder is often sufficient. You can also use your fingers to press into the set paint, drawing more color to the surface. If the makeup has been set properly, you should not see any transfer of pigment onto your fingers.
Once set, oil-based makeup is virtually immovable. It is impervious to moisture, and can withstand sweat, rain, swimming pools, and sleep. With continued friction, the pigment will shift (for example, if you paint the soles of your feet and walk, the pigment will rub off), but this takes time and a fair amount of pressure. Below is a video illustrating the immovability of several brands of oil-based makeup set with baby powder:
Water-based makeup will dry with a matte finish on its own, without requiring a powder-set. However, it is soluble in water, and must be set in order to avoid running and shifting of pigment when exposed to moisture.
One can purchase liquid fixative in spray-on or mix-in form. Follow included directions for application. Below is a video illustrating the immovability of several brands of water-based makeup set with liquid fixative:
Another interesting method of setting water-based paints that I happened upon is by mixing them not with water, but with Perrier, the naturally carbonated mineral water. I was dubious at first, but had to purchase a bottle ($0.99 for 1 pint is not bad at all) to find out.
Lo and behold, Perrier does have the ability to hold together water-based pigments. It is not the same as spray-on fixative, as it does not leave a coating on top of the paint. It is mixed into the pigment itself and helps it hold to the skin. It may take up to 10 minutes to set completely. The top layer of pigment may remain a powder and movable, but pressing the paint with a damp washcloth will remove any loose pigment. After it has been set, the paint does not shift or run when exposed to water. The video and images below illustrate this property: