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At lvl 31 what kind of stuff should I try to get out of sm.
+should I go for the sm set.
SM at 31 you are probably limited to the Graveyard wing. I'd go given the chance simply to get experience working in a group. You could try Library but the stuff at the end will be orange (possibly red?) to you so you will miss a lot and I wouldn't recommend trying to tank Library until 34 or 35 at least.
I think most of the better Warrior drops are in the Armory and Cathedral which you should steer clear of for a few more levels.
As for going for the SM set as a Warrior, the problem I see with that is that you end up getting it so close to 40 that you will quickly want to replace it all with plate. I don't think it's worth the effort to get the set as a Warrior or Pally unless perhaps you are going to stay at 39 for a while to do BGs?
I think RFK would be about right for your level though I'm not familiar enough with the drops there to say what to look for. I escorted a friend's 27/28 Pally through there the other day and he got a couple of nice drops that he can't equip yet.