I am not a western pleasure rider and so I don't know how much of a head set you are looking for. I am not into a "headset" . However, if the horse puts her head where you want it when you take up rein contact but immediately goes back to head in the air when contact is released, then you must give the signal to lower the head more often but hold it for a shorter period of time. Make it more of a reminder than any kind of pulling the head down.
Also, if the horse throws its' head into the air and wants to go that way most of the time, this can mean that it's uncomfortable in its' back or mouth somewhere and wants to either avoid bit contact or hollow out its' back to protect itself from saddle pain. I hope you would know if either of those things apply to your horse.
Don't you have a trainer?