Gear combining isn't a thing in the game, sorry. 

I'm not sure if OP is asking to literally combine gear, or if they are referring to set bonuses. If the former, then as thorne mentioned, no, you can't combine gear. If the latter, then yes, you can use items from different sets. You'll still get the stats the items provide, you just won't get the set bonuses unless you reach the number of items required for those bonuses.

I assume he means if the effects stack. In that case, yes. Some of the popular combinations include

3X sets (3 Cruel sets ignore 15% DEF and provide 45% ATK, I think)

4+2 Example: 4 Regeneration + 2 Immortal, 4 Savage + 2 Cruel etc.

Protection and Stoneskin have bonus stats at every gear count, with main effects at 4 and 6 piece count. 

It's probably just the latter. I don't think I've ever seen someone describe it as combining gear before.