I think it is helpful to use the Cy Young guidelines when selecting each leagues top relievers. There are some other things I will consider.

I will consider both set-up men and closers. However, I will give slightly more weight to closers. We have seen time and time again there are players that have been terrific set-up men become shaky closers. Additionally, there should be weight to innings pitched. The more innings you play, the more important you are to a team. 

Overall, my hope is to choose the best overall relievers whether or not they are closers.