Our organization recently went from straight choice of membership type on signups and renewals to a Price Set in order to include an option to pay for a newsletter. The web page using the price set works just fine. And if we use the back-office interface to add a new member, that works fine too - on the Membership Organization and Type line, I get a choice of Org and Type, or a Price Set. However, when I select an existing Membership record in the back-office and choose "renew", I get to change the membership type but get no option to select Price Set. I need the latter to work so I can get the newsletter option to be included in the total charge.
It's not currently supported... However, I'm running the patch from https://issues.civicrm.org/jira/browse/CRM-15861 successfully on a client site. That should do what you want!