You don't need to declare an iterator object just to check if the value exists. And switch looks more suitable here than lot of if-then...

int main() {
int iCount;
set<int> ss;
cin >> iCount;
for (int i=0; i<iCount; ++i){
    int type, query;
    cin >> type >> query;
    switch (type){
        case 1:
            ss.insert(query);
            break;
        case 2:
            ss.erase(query);
            break;
        case 3:
            cout << (ss.find(query) == ss.end() ? "No" : "Yes") << endl;
            break;
    }
}  
return 0;
}