When creating graphic sets you intend to publicly release - please give them useful, unique names. These guidelines (except the 16-character limit and the no spaces at start or end) are currently not enforced in any way by NeoLemmix itself, but this may change in the future. However, I won't add graphic sets to the auto-downloadable list if they don't comply with this, except for graphic sets that pre-date this convention and are widely used.
Remember, firstly, that graphic set names cannot currently exceed 16 characters, and cannot start or end with a space (but they may have spaces in the middle). The length limitation will change in the future, but it's how things are for now. For the record, this does not include the .DAT extension.
The recommended naming scheme is for the name to contain firstly the creator's username (or an abbreviated form of it), followed by an underscore, followed by the a descriptive name; all in lower-case. A pack name, in cases where the graphic set is strongly associated with a specific pack, is also acceptable instead of a creator's name.
For example, if I were creating a set called "pwnage", a good name for it would be "namida_pwnage". If it was for Lemmings Plus 100, then "lp100_pwnage" would also be acceptable. Just "pwnage" would not be in line with this convention, and just "graphicset5" would be worst of all.