First of all, input takes user input as a string. So even if they enter 1, that won't match your set, because your set is of int, and their input is the string '1', not the integer 1. Also, there's no need to use a set. A range object is easier to generate, and since it contains multiple numbers, the variable name should be plural. You also don't have your indentation correct. I don't see what the f in the input function is doing, and if you want a multi-line string, you need triple quotes. Also, if you have a carriage return in your string, putting \n in the string gives you two line breaks; I'm not sure that's intended. So one way of doing this is:
fortune_nums = [str(num) for num in range(1,10)]
user_num = input('''Pick a number and find your fortune!
Choose a number from 1 to 9 and hit enter: \n''')
print()
if user_num in fortune_nums:
print(user_num)
else:
print('Error')
If you want to get fancier, you can keep your fortune_nums as int, then do a try-except on converting the input to int, catching the invalid literal error:
fortune_nums = range(1,10)
user_num = input('''Pick a number and find your fortune!
Choose a number from 1 to 9 and hit enter: \n''')
print()
try:
if(int(user_num) in fortune_nums):
print(user_num)
except ValueError:
print("That's not a valid integer!")
1 <= x <= 9orx in range(1, 10)would do.