This set is to be gotten while playing through Undead Burg for the first time. It's meant to be used during the fight versus the Bellfy Gargoyles. No shortcuts, no Valley of the Drakes, no Darkwood Forest.
1. Equip the entire Chain Set.
2. Buy the Heater Shield from the Undead Male Merchant.
3. Get the Claymore. Just ignore the Red Drake and run behind him.