Some of the posts have urged thieves to make generous use of their ability to set snares. Following this advice, I had Yoshimo trap a narrow doorway, then lure enemies towards the rest of the party, who were all waiting to tactical advantage. Our heroes pounded those nasty villains soundly, but I did not notice any active effect of the trap either on the main screen or in the dialogue box. Am I possibly doing something wrong?

TIA

Well, when you use Yoshimo to set snares, you have to observe the text screen to see whether he was successful in setting it. In reality, he fails quite often. I was as confused as you till I noticed this.

Actually I can't add much beyond what exAD&Der wrote, other than to give examples. When I read about the new skill I started a Bounty Hunter to make use of it. I put a decent amount of points into the set snares skill about 75 I think give or take. With that skill alone I dropped most of the mobs in Iri's underground. Then when I ran into Yoshi I was stoked but the soon realize his 50 something points or whatever he had in snare setting wasn't nearly enough; so he became trap fodder err trap remover (which he does quite well though). The other smooth thing about set snare is the fact that yes they do stay all night, when you sleep outside use your remaining traps, should anyone try to creep up on you your snares will go off and tag the intruders. When I fought the duregar in Iri's cave I would set snares then sleep and set more, then when I felt that I had enough I would lure the dwarves into my trapped hallway and they'd be slaughtered. Most of the time I didn't have to lift a finger, with the exception of waving good-bye.
Hope this helps