yep, i always carried my jewellery in my hand bag...
since set boxes take so much space, i took the jewellery out of the boxes and put it in little plastic ziplock/sandwitch type bags, and stored those bags carefully in my hand bag/purse... I have never had any problems this way...
you have to be careful though when storing it in your hand bag, so that you don't bend/break any jewellery (if its taken out of boxes), so wrap like each set in small pieces of bubble wrap and then put it in the tiny ziplock...and then store in handbag carefully in a way that its not pushing bumping against lots of other things in your purse...