Here's the trick. There is no trick. You have to equip 3 sets on a champion, all items having 4 stars or higher, and upgrade those items to level 12.
You can't do it with a 4 piece set (Lifesteal, Fury, Daze, Cursed, Frost, Frenzy, etc.), only 2 piece sets (Life, Offense, Defense, Speed, Critical Rate, Crit Damage, Accuracy, Resistance, etc.)
You can tell these sets in "Artifact Storage" because they have (2) after the Set name, and NOT (4). If you use (4), you can only put 2 sets on a Champion, and you need to use 3 sets for it to work.
Simple, I know! It's just how you read the Challenge. Save money, just throw 3x 4* of life on Champions you're gonna sacrifice anyway.
TL;DR: Use 3 sets of (2) on champions (Life, Offense, etc.), and upgrade those to level 12.