You're misunderstanding the rules. You only set aside nightmares when you're refilling to 5 from a completely empty hand (after discarding your hand to resolve a nightmare). If you're just drawing a couple of cards, e.g. After playing a key to gain a door, then nightmares will still occur. It can indeed be nice to resolve them by discarding a smaller than usual hand.
Obviously not what this thread was about, but this was what I was comming here to ask.
Thanks for clearing that up.