yes and no.
pen sets and layer combos are separate things. Layer combos are saved layer states for all layers.
pen sets allow you to change *some* of the visibility attributes for objects when views are placed in layouts, for example, use the "electrical pen set" to show everything grayed out except for some particular colors, and/or give'em certain line weights. Line types are another chapter (mostly, object based).
take a look at the different standard pen sets, especially the ones named "07 Mechanical" and "08 Electrical". It will give you a good hint on how you can use them. For instance, an object using PEN# 77 will be yellow when using the electrical pen set, but will be gray when using the mechanical pen set.
In other words, they are the equivalent to pen color tables or style tables in autocad.
independently of where that same drawing may appear on a different sheet?
you would have to be more specific on the "same drawing" part, how you are creating views, or placing them in layouts.
If you are starting with AC on your own, I highly recommend you to take a plunge in the Help documentation. It covers every aspect of the program. It might take you a couple of hours, but your understanding of the software will be a whole lot better.