Yes, I often go high after set changes. I used to always change my infusion sets first thing in the morning and never figured out that some of my occasional post-breakfast spikes were related to set changes.
What I try to do now is change the site mid-morning after my post-breakfast exercise when I tend to start going low. Or maybe in the afternoon if I'm tending low. For me it works best to change the site when my insulin needs are at a minimum.
I use Silhouettes that ask for a .7 fixed prime. I usually do 1.0, but I'm not convinced that's enough if I do it near mealtime. I've read of people who bolus 5 units every time they change an infusion set. That would be excessive for me, but it certainly indicates that you're not alone in your problem.