The finite case is pretty cheap. Take the free group $G$ with countably many generators $R_1,R_2,\dots$. Consider any injection $S:F(G)\to \mathbb N$ where $F(G)$ is the set of finite subsets of $G$ such that $S(W)$ is different from any index of a generator contained in a word $w\in W$ and take $E$ to be all (irreducible) words that do not start with $R_{S(W)}^{-1}w$ for $w\in W$. Then $R_{S(W)}E=E\setminus W$. Now just realize $G$ as a subgroup of the orthogonal group and take a generic point on the sphere.
Whether to call this "constructive" is a matter of taste. Everything can be done explicitly but it is quite a mess.
To do the countable case this way, one would need a free group with continuum generators. If you believe the continuum hypothesis, you still can embed this monster in the orthogonal group. Now I'm not so sure about $R^3$ but $R^9$ will still work (orthogonal matrices acting on themselves). If you believe that the continuum hypothesis fails, I don't know (because then you'll have to add a generator to an uncountable family). However, you can try to construct some explicit family of orthogonal operators without non-trivial relations in some high dimension. It would be interesting to see :).