Follow these 3 rules whenever possible.

• Kill every captain on sight.
  I think beheading lowers the chance that they cheat death.
  
• Always skip time when you Fast Travel.
  
• Make sure there is always a free slot on the map.

In addition there are a few active ways.

• Farm Nemesis missions, preferable these with multiple participants.
  (Each kill has a chance to cheat death and opens a slot for a new captain)
  
• Farm Pit Fights, preferable low level.
  (If you want the captain not the loot you should use high level pits and keep a weak captain that will loose against a legendary, when you find one.)

If you want to farm a specific Tribe Set it gets a bit more complicated.

1. Search for banners etc. of the tribe you want, the best indicator is a statue.
   
2. Search for the soldier type that can drop your legendary.
   I think specific weapon types have higher chances for specific classes.
   Archer -> Marksman | Hunter -> Tracker | Wildling -> Berserker
   
3. Let him kill you and hope for the best.

Another option is to create a Rival.

1. Find a captain of the desired tribe & class
   
2. Let him kill you.
   
3. Shame him.
   
4. Repeat 2. & 3. and he will eventually return as legendary.

There are other reported ways I couldn't validate myself.

• Kill Captains with Environmental Hazzards to increase the chance that they will become Legendary when they cheat death.

Tribe Sets:

1. Find a captain that suits your needs
   (Could use a Follower but he will likely betray you after this torture)
   
2. Slot a white T5 Gem in your Ringcast
   
3. Disable "Worse than Death" when active
   
4. Recruit and Dismiss
   
5. Recruit and Dismiss
   
6. ...

Ringwraith Set:

1. Find a follower that suits your needs.
   
2. Set him in the siege army.
   
3. Online-Siege your own castle.
   
4. Let him die and revive him.
   (Only possible when he wasn't beheaded)
   
5. Abort the siege to reset the world.
   (The item will still be upgraded)