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Prior to SAS 9.2, in order to obtain the name of the data set being read from a SET statement, the IN= data set option is required, along with hard coding the value.

Beginning in SAS 9.2, the INDSNAME= option placed on the SET statement makes the process much easier. See the examples under the "Full Code" tab.

Prior to SAS 9.2, a new variable is created for each data set with 
the IN= data set option. This variable has a value of 1 when the 
current data set is being read.  The IF and ELSE statements determine 
the value for DSETNAME.

/* sample data sets */
data one;
 x=1;
run;

data two;
 y=2;
run;

data new;
  set one(in=ina) two(in=inb);
  if ina then dsetname='WORK.ONE';
  else dsetname='WORK.TWO';
proc print;
run;

As of SAS 9.2, the INDSNAME= option for the SET statement writes 
the name of the currently read data set to the variable name 
specified. This isn't written to the data set by default, so a new
variable is created to hold DSN.
data one;
  x=1;
run;

data two;
  y=2;
run;

data new;
  set one two indsname=dsn;
  dsetname=dsn;
run;

Prior to 9.2

Obs    x    y    dsetname

 1     1    .    WORK.ONE
 2     .    2    WORK.TWO


As of 9.2

Obs    x    y    dsetname

 1     1    .    WORK.ONE
 2     .    2    WORK.TWO

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