The omega, maco, or honor guard sets can be bought with EDC for the X or XI versions. The X version costs 20, and the XI version costs 40, EDC each.
The STF's also drop borg tech, such as "Common Borg Shield Tech," and the tech can be traded in for a MACO/Honor Guard or Omega set piece of the appropriate mark. Common tech redeems for mk X, rare for mk XI, and protype (which only comes off elite STFs) redeems for XII pieces. Keep in mind to get set bonuses all pieces need to be of the same mark. So if you get an X shield, XI deflector, and XII engines you're not going to get any set bonus.
Here's a reference for what redeems for what: http://www.stowiki.org/STF#Drops_and_Rewards
I know it sounds like a lot of EDC's necessary, but it goes quicker than you'd imagine. You get at least one EDC, sometimes more, for each STF. You can usually run all three space versions on normal in an hour with time to spare. So in less than two hours you got your first piece of the borg set. Get the engines first, it makes flying around place to place so much less painful.