Construction of simultaneous confidence sets for several effective doses currently relies on inverting the Scheffé type simultaneous confidence band, which is known to be conservative. We develop novel methodology to make the simultaneous coverage closer to its nominal level, for both two-sided and one-sided simultaneous confidence sets. Our approach is shown to be considerably less conservative than the current method, and is illustrated with an example on modeling the effect of smoking status and serum triglyceride level on the probability of the recurrence of a myocardial infarction.