So far, there are two Shadow Lair armor set that gives bonus to swords (Snarbolax/Heavenly Iron set*) and one to bombs (Mercurial Demo set) with the others having either no bonus or bonus to certain monsters. If there is a Snarbolax Lair armor set for sword and bombs, there should be one for Gunslingers too (somehow I fell that OOO neglects gunslingers...)
My suggestion:
Normal+Shadow or Elemental defense
One status resist (maybe Fire?)
Gun damage bonus medium each/Gun damage bonus low for one piece, medium for the other piece (like Volcanic Demo set) - Since VH ASI is common and this is a SL armor set so it is harder to get so it should get more bonus.
*Heavenly Iron set gives low damage bonus per piece to swords against any enemy and low damage bonus per piece to every weapon against fiends.
" and this is a SL armor set so it is harder to get so it should get more bonus."
the same concept doesn't apply to any current sl armor. They are not that great for what they offer, compared to regular armors, except maybe the snarbolax set.