private static EntityBuilderCore entityBuilderCore = ServiceFactory.Create<EntityBuilderCore>();

private List<Set> SplitBySetId(List<Step> stepList)
{
    List<Set> outputSetList = new List<Set>();

    using (entityBuilderCore)
    {
        stepList.ForEach(step =>
        {
            // For each step, I find the corrispectives set's ids (one or more).
            // Then, I create the Set
            List<int> setIdList = entityBuilderCore.GetSetIdByStep(step);

            // Create Sets and adding to the output list
            setIdList.ToList().ForEach(id =>
            {
                if (!outputSetList.Any(set => set.Id == id))
                    outputSetList.Add((Set)entityBuilderCore.GetEntity(typeof(Set), id));
            });
        });
    }

    return outputSetList;
}

private List<Set> SplitBySetId(List<Step> stepList)
{
    List<Set> outputSetList = new List<Set>();

    using (entityBuilderCore)
    {
        stepList.ForEach(step =>
        {
            // For each step, I find the corrispectives set's ids (one or more).
            // Then, I create the Set
            List<int> setIdList = entityBuilderCore.GetSetIdByStep(step);

            // Create Sets and adding to the output list
            var tempList = setIdList.Distinct()
                .AsParallel()
                .Where(id => !outputSetList.Any(set => set.Id == id))
                .Select(setId => (Set)entityBuilderCore.GetEntity(typeof(Set), setId));

            outputSetList.AddRange(tempList);
        });
    }
    return outputSetList;
}

class EntityBuilderCore : CoreBase
{
    private static EntityRepository Repository;

    protected override string _connectionString
    {
        get { return ConfigurationService.Instance.GetValue("connessione_database_sinistriweb"); }
    }

    private EntityBuilderCore()
    {
        Repository = new EntityRepository() { ConnectionString = _connectionString };
    }

    public BaseEntity GetEntity(Type entityType, int id)
    {
        return EntityBuilder.BuildEntity(entityType, Repository.GetEntity(entityType, id));
    }

    // ...

    public List<int> GetSetIdByStep(Step step)
    {
        return Repository.GetSetIdByStep(step);
    }

}



class EntityRepository : RepositoryBase
{
    public DataRow GetEntity(Type systemType, int id)
    {
        // bla bla
    }

    public List<int> GetSetIdByStep(Step step)
    {
        // bla bla
    }

    // ...

}

class EntityBuilder
{
    public static BaseEntity BuildEntity(Type entityType, DataRow dr)
    {
        if (entityType == typeof(SQL))
            return BuildSQL(dr);

        if (entityType == typeof(Step))
            return BuildStep(dr);

        if (entityType == typeof(Set))
            return BuildSet(dr);

        return null;
    }


    //...

    private static Step BuildStep(DataRow dr)
    {
        using (EntityBuilderCore entityBuilderCore = ServiceFactory.Create<EntityBuilderCore>())
        {
            Step s = new Step()
            {
                Id = Convert.ToInt16(dr["ID"]),
                //... bla bla
            };
            return s;
        }
    }

    private static Set BuildSet(DataRow dr)
    {
        using (EntityBuilderCore entityBuilderCore = ServiceFactory.Create<EntityBuilderCore>())
        {
            Set s = new Set()
            {
                Id = Convert.ToInt16(dr["ID"]),
                //...
            };

            return s;
        }
    }
}