How to run MDX query with multiple Select statements

Summary:

I'm running an MDX query that times out with the following error message:

I'm trying to circumvent this limitation by breaking down the query into two smaller ones, and using two Sets with Select statement in each within one query.

It doesn't cooperate. I was considering using HypExecuteMDXEx function, but it assumes I need to put the query into the VBA code, and even if I circumvent that - it'll put the results into multiple worksheets. I guess I can combine them into one, but seems like to much hassle. Any suggestions?

Thanks!