How to craft it
Work BenchSet bonus
The bonus applies while the helmet, chestpiece and leggings are all worn together.
getting the wood
Shadewood grows on the trees in the Crimson, so a Corruption world has no natural supply. If yours rolled the other evil biome you either haul logs in from a second world or grow a patch at home: the Dryad begins stocking Crimson Seeds once the world is in Hardmode and she is standing in a Graveyard, and a planted block of it will grow the trees you need.
when it is worth wearing
This is day one armor. You can chop a full set out of trees before you have swung a pickaxe at anything, and that early it beats taking hits in your starting shirt. It falls off the moment you have enough ore for a metal set, and by the time you are working the caverns properly you should have moved past it once already.
the set bonus
Wearing all three parts adds a little on top of what the individual pieces give, which is the only argument for finishing the set instead of pairing the helmet with something sturdier you happened to find. Corruption worlds get their own wood armor that performs the same, so neither side of the world generation coin comes out ahead here.