cpu_set has never work correctly.
a new cpu-add command has been added to qemu 1.5
http://wiki.qemu.org/Features/CPUHotplug
So yes, it should come soon in proxmox, when qemu will be updated. (currently proxmox use qemu 1.4).
Note that unplug is not yet supported, cpu-add is a temporary workaround, because qemu dev need to implement this is a cleaner way, with device_add/device_del commands. (see qemu wiki)