The wooden plug fuses were set by cutting the plug to the appropriate length. That was a pretty risky process and was done away from the shell itself. Sometimes it was done with a paper cutter looking gadget attached to the limber, sometimes with a saw, a copper saw to avoid sparks. The loader had to be very careful to load the fused shell with the fuse pointed away from the propellant charge. Otherwise the highly possible outcome was the shell detonating in the gun tube. A bad thing for the gun and for the gun crew.
The metal fuses were typically bronze and had a powder train coiled inside the fuse body. The time was set by punching into the fuse to expose a portion of the powder train at a point designated on the face of the fuse by a clock face like pattern.
Under either situation the fuse timer was not very reliable because the gunner had to estimate the distance to the place he wanted the shell (common shell or spherical case) to burst and hope that the fuse burned at the expected rate and hope that the explosive charge would even detonate. In the months after the battle a fair number of Gettysburg civilians were hurt/killed because they were messing around with dud shells that exploded.
You could - but as you note, it wasn’t worth the trouble and risk.
Though I wasn’t able to find a cite, ISTR that this was once tried by the British (around 1800?), with results that caused them to conclude it was a Bad Idea.