Should I get the Tempest Set or Skill Books?

Just be sure that you know that afking on a Luminous gives you 4 tempest coins instead of 2 for every other class, so if that's the source of the majority of your coins then I'd recommend you do it on that class instead, and transfer the gear over (I believe it's all bind on equip, not bind from purchase from the tempest shop).

Yeah, it's bind on equip. You could also hunt boxes at spawn heavy areas close to your level to speed up the process.