Number 1 as you said you bought more than one book you have to say "they" whereas if you bought 1 you would say "it"

I think you could say both are correct. It depends on what part you are referring to. If you say they, then it is understood you are referring to the books themselves. If you say it, then you are referring to the entire package; or "set."

If you are not learning for proper usage, like school or buisness, ignore this. Both are wrong but not in the way you think. You have got your self a compound sentance, which is when you have two full ideas in one sentance. It would be proper English to say "I ordered a set of books online. They will be delivered soon."

Of the two listed I would say number 1. However if you wanted you could also say, "I ordered a set of books online and it will be delivered soon." When you buy something online it is usually referred to as an "order." A common option on a website is view order history or to see my orders. In the above you would be referring to all the books as the single order. Number 1 is correct but my example would be commonly used as well.

Both are correct. The one you use depends on whether you want to put more emphasis on the multiple books (in which case, use sentence 1) or if you want to put more emphasis on the set (in which case, use sentence 2).