Ordering python sets

[Mr.SpOOn]

Hi,
I need a structure to represent a set of integers. I also need to
perform on this set some basic set operations, such as adding or
removing elements, joining with other sets and checking for the
presence of specific elements.

I think that using Python sets would be the best choice, but I also
need integers to be ordered inside the set and I've just found out
that, instead, Python sets are unordered collections.

Is there another convenient structure or shall I use lists and define
the operations I need?

Thanks.