(doing something) is one thing; (doing something else) is another

When someone uses a sentence like this:

Earning money is one thing; saving money is another.

It means that the second thing is more extreme than the first thing. In this example, saving money is harder than earning money, and the speaker thinks that it's important to save money.

Here's another example, with a slightly different format:

It's one thing to be late, but not showing up at all is something else entirely.

In this example, the speaker wants to say that being late and not showing up are both bad, but not showing up is worse.

set goals

"Setting" a goal means deciding what goal you want to try to achieve.

We've set a goal of raising $200,000 by the end of October.

You can call the activity of setting goals "goal-setting":

Today I'd like for us all to participate in a little goal-setting exercise.

achieve (a goal)

To "achieve" a goal means to do something that you decided that you wanted to do. For example:

When I was in my 20's I set a goal for myself to save up enough money to start a business, and by 28 I'd achieved that goal.

Some other phrases that you can also use to talk about achieving a goal are:

• accomplish
• reach
• hit