The authors consider Sidon sets of first kind. By comparing them with the Steinhaus sequence, they prove a local Khintchine-Kahane inequality on compact sets. As consequences, they prove the following results for Sidon series taking values in a Banach space: the summability on a set of positive measure implies the almost everywhere convergence; the contraction principle of Billard-Kahane remains true for Sidon series. As applications, they extend a uniqueness theorem of Zygmund concerning lacunary Fourier series and an analytic continuation theorem of Hadamard concerning lacunary Taylor series. Some of their results still hold for Sidon sets of second kind.