The skill of getting what one of my friends has once called "The indie kids' Pokemon card" is an acquired one at best, but not without its simplicities.
Bloc party signed by the band
By following these steps, I might not be able to guarantee success, but I can sure guarantee that you're in with a shot
Step One: Be Close To the Stage
There is no point in even trying to get a setlist if you are not near the front of stage. By the time you get there, it will be gone. If you can, be a barrier junkie. You often meet some really cool, "diehard" fans and the friendships made at the front of stage can often be more valuable than the coveted setlist you are after. Also, shows are always better where you're "that close". If not, try to make your way peacefully to the front. And when I mean peacefully, if someone tells you to not go in front of them, you listen.
The one rare exception is that sometimes for lighting/sound cues the mixing desk may have a copy. This is very rare, but if they do then the complete opposite is the case
Step Two: Don't ask security
I say this not for any subjective reason yet because of the nature of their position. Security exists to control and police the crowd for the day and/or night, not the stage. As such, they have no right to actually touch what is on-stage at all (In fact, if they do and something breaks they're automatically liable). Asking them to grab it for you is a waste of both their time and yours. The same goes for any photographers or hired broadcaster who are filming from the photo pit.
What you are allowed to do is to ask security to relay messages and get the setlist for you from the people you really want, and that leads to step three...
The Killers with the guitarist's pick, top-left
Step Three: Ask The Roadies, nicely
A roadie is a delicate creature. They have either spent the past 48 hours without sleep bolting together a lighting rig specifically designed to add ambiance and gravitas to some "rock god"'s songs, or have spent a day in 40 degree weather pushing multiple amps and drumkits of no-name bands around huge stages. In both cases, expect them to smell of a mixture of gaffer tape and decade-old Jack Daniels and to not give a crap who the hell is in the audience.
Hence, when it comes to the encore, or even the end of the show, screaming "HEY F-WIT CAN YOU GIMME THA SETLIST?" will not get you any friends on-stage. However, putting on a better tone, a smile and screaming, "EXCUSE ME MATE/SIR/MADAM (the latter two if they're wearing Cream tour shirts that actually look like they're from 1975), COULD I PLEASE HAVE THE SETLIST?" and giving a nice wave and a "CHEERS!" afterwards makes all the difference. Subtleties kids, subtleties.
On that note, there's one subtle factor that will lead to the setlist war amongst diehard fans always swinging slightly your way, and that is...
Step Four: Be female
Being a girl and/or a woman has its perks. Having the extra X chromosome has already placed your over the likes of me, a pocky male. It's a broad generalisation but so is rock and roll, unfortuantely. And no, I am not suggesting you "show some flesh" to get it. That's plain stupid and will make you look like an attention whore amongst your peers.
"But wait!" you say. "How did you end up with so many yourself?" Well that's simple...
TV on the Radio
Step Five: Know where they're placed
Knowing where a setlist is place is vital. Roadies and security alike will not assume where an A4 piece of paper that's been gaffer taped to the stage lays. The four most likely places will always be, in order of demand:
1) In front of the lead singer
2) In fron of the bassist(s)/guitarist(s)/keyboardist(s)/any other frontline musicians
3) On the drumkit or a side of an amp facing the drumkit
4) The side-of-stage mixing desk
Memorise these locations and note how they change for each stage set up. Point them out when you gain an on-stage compatriot's attention.
Lastly, I note the most important rule
Step Six: It isn't the end of the world if you don't get it.
A setlist is just that, a list of songs. If you are fighting with five other fans whilst your best mate has made his way past security into the backstage Green Room, well, sorry but you've just drawn the short straw. There are several situatations where your desire for a setlist should be put aside, too many to list here. In short, what you came for was the music, and once the music's been played the setlist should really be a cherry on the top, not your entire pie.