If one is shooting RAW (which is often necessary with sunset shots due to the high dynamic range the scenes contain) then it doesn't matter what white balance is set on the camera because RAW files don't have a white balance per se (this is something that needs to be done in post-production). The white balance you select on the camera is only applied to the in-camera JPEG that you see on the review screen.
There are two types of white balancing; "technically correct" and "visually correct". As an example, in the studio - if I take a photo of a model to be printed on a canvas and hung on a wall then I want it to be "technically correct" - ie I want to compensate for the colour temperature of the lighting so that skin tones look normal when the photo is viewed under normal lighting conditions. On the other hand, if I were to white balance a sunset so that it was technically correct, I'd be nulling out the colours of the setting sun, and it would look awful - so it that situation "visually correct" is the way to go.
So what is "visually correct"? Easy - you simply adjust it in post-production so that it looks it's best - it's as easy as that.
If you're shooting sunsets using JPEG then all you can do is dial in a colour temperature that gives you the look you're after (if you can do this using live view then it'll make the process much faster).
Hope this helps