I don't think you mean "set" anyway. I think you mean "style". However, if you simply mean that you use your hand instead of a comb, use Phaedrus' suggestions.
It's grammatical and natural and makes sense.Is it incorrect to say "Johnson ran his hand through his hair while talking to me"?
Is it okay to say "comb my hand with my hand"? I find it a bit odd.
Oh, I meant "comb my hair with my hand" as written by Phaedrus in Post #2.
I comb my hair with my hand only as a last resort. It's like trying to rake leaves with a pitchfork.Your hand doesn't make a very good comb. Buy a comb.