After a lot of fiddling around, I have found a set $S$ that doesn't work, and maybe we should try to disprove this instead (read the comments...):
$$S = S_0 \cup S_1 \cup S_2 \cup S_3 $$
where
$$\begin{align}
S_0 &= \left\{\frac{1}{3},\frac{1}{5},-\frac{8}{15},\frac{1}{21},\frac{13}{21}\right\} \\
S_1 &= \bigcup_{k=5}^\infty \left\{\frac{1}{5p_{k}}\right\} \\
S_2 &= \bigcup_{k=2}^\infty \left\{k-\frac{1}{5}-\frac{1}{5p_{2k+2}}\right\} \\
S_3 &= \bigcup_{k=2}^\infty \left\{-k-\frac{1}{5}-\frac{1}{5p_{2k+3}}\right\} \\
\end{align}$$
where $p_k$ is the $k$'th prime number ($p_1 = 2, p_2 = 3, p_3 = 5, \dots$).
Constructing every integer
$$\begin{align}
0 &= \left(\frac{1}{3}\right)+\left(\frac{1}{5}\right)+\left(-\frac{8}{15}\right) \\
1 &= \left(\frac{1}{3}\right)+\left(\frac{1}{21}\right)+\left(\frac{13}{21}\right) \\
\forall k \in \mathbb{N}^+ \setminus \{1\} \quad k &= \left(\frac{1}{5}\right) + \left(\frac{1}{5p_{2k+2}}\right) + \left(k - \frac{1}{5} - \frac{1}{5p_{2k+2}}\right)\\
\forall k \in \mathbb{N}^+ \quad -k &= \left(\frac{1}{5}\right)+\left(\frac{1}{5p_{2k+3}}\right) + \left(-k-\frac{1}{5}-\frac{1}{5p_{2k+3}}\right)
\end{align}$$
Examples
$$\begin{align}
0 &= \frac{1}{3}+\frac{1}{5}+\left(-\frac{8}{15}\right) \quad &(\text{using }p_2=3, p_3=5)\\
1 &= \frac{1}{3}+\frac{1}{21}+\frac{13}{21} \quad &(\text{using }p_4=7) \\
-1 &= \frac{1}{5}+\frac{1}{55}+\left(-\frac{67}{55}\right) \quad &(\text{using }p_5=11) \\
2 &= \frac{1}{5}+\frac{1}{65}+\frac{116}{65} \quad &(\text{using }p_6=13) \\
-2 &= \frac{1}{5}+\frac{1}{85}+\left(-\frac{188}{85}\right) \quad &(\text{using }p_7=17) \\
3 &= \frac{1}{5}+\frac{1}{95}+\frac{53}{19} \quad &(\text{using }p_8=19) \\
-3 &= \frac{1}{5}+\frac{1}{115}+\left(-\frac{369}{115}\right) \quad &(\text{using }p_9=23) \\
4 &= \frac{1}{5}+\frac{1}{145}+\frac{110}{29} \quad &(\text{using }p_{10}=29) \\
&\ \ \vdots
\end{align}$$