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Sometimes I am looking for more data sets, but I am already aware of a few ones satisfying my requirements: shall I write down the ones I am aware of in the question or as answer? I'd tend to write them as an answer as I feel it's clearer but just to know whether there exists any established policy on that matter.

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It's my opinion that if you are looking for another data set, then post the existing ones as part of the question. The reason is that the question won't come up as unanswered in the list, so perhaps it has less visibility overall. If you are very diligent, then perhaps migrate your data sources from Q to A once there are some additional decent answers.

In terms of self-answering, it's totally accepted. See:

Posting about data sets

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