"I have set the Lord continually before me"
We usually set/place the thing before us that we love. Work, hobbies, sports, relationships, etc...these and much more do we set before us. The Israelites would often, throughout their history set before themselves false idols and raise up the high places, and serve false gods. What they set before themselves became their undoing. God eventually raised up a pagan nation to take them into their pagan land and sought with great success in transforming them into pagan citizens. God was essentially saying you want it you got it and now you must drink the cup of your ways.
This type of 'setting' is such that whatever is placed before you becomes the centerpiece, it takes first place, the focal point. Vision is obscured, true spiritual sight is eclipsed. The very thing that you thought would bring you greater freedom and enlightenment actually brings greater bondage and darkness. You end up resembling the dumb idol that is worshipped. The Psalmist knew that the best thing (person) to be 'set' in front of him was the Lord.
So here we see the frequency of his actions- continually. Time and experience validated Gods record as faithful and true. Like a wood burning oven in the dead of winter, it is set there to warm the family, it is set there for their survival. So too, David knew that God was their for light and heat. He knew that to have God set before him continually was the best thing for him.
When the text says that God is set before him it doesn't mean that God is not an objected to be moved or shuffled around. He's not like the Ark of the Covenant where you pick him up and move him into some tent. He is not stationary by mans lack of movement nor does he become mobile when man is on the go. This setting of God was a conscious awareness of God in everything he set out to do. It's having God in your direct line of sight as well as in the peripheral, it is to have a mindset that is aimed at pleasing God and living unto His glory.
Just as David was a man filled with the Spirit, so we too, as New Covenant saints can mirror what David did. This was written down as an example for us to model. As Christians we know that we need to readjust our minds, align the telescope of our hearts so that they point due north, honed in on the brightest star in the sky (Jesus). He is in our gaze, and if we are to shine forth we must continually set Him before us in active loving obedience. Likewise, not to set Him before us is to miss the whole point of the Christian life, to forgo favor and temporal blessing. This is not an option for the true child of the Kingdom; he must do this, it is the best thing that he can endeavor to do, and his chief pursuit.