Competitively
You should have both on the same set. Swords Dance allows you to break past many walls you wouldn't be able to with Talonflame's mediocre Base 81 Attack stat, and Roost lets you heal from Brave Bird/Flare Blitz recoil as well as other inconveniences. It also lets Talonflame regain Gale Wings, if you are using it. Here's a sample set
Talonflame @ Heavy-Duty Boots
Ability: Gale Wings
EVs: 252 Atk / 4 Def / 252 Spe
Adamant / Jolly Nature
- Brave Bird / Dual Wingbeat
- Flare Blitz
- Swords Dance
- Roost
In-game
Set up isn't needed that much in a playthrough. I'd suggest you use Roost.
Talonflame @ Sharp Beak / Charcoal / No item
Ability: any
EVs: They don't matter
Nature doesn't matter
- Brave Bird / Acrobatics
- Flare Blitz
- Roost
- Quick Attack
Brave Bird and Flare Blitz are powerful moves Talonflame learns right after evolving. Quick Attack is for revenge-killing purposes if you ever need it.
