c# how do you return dataset from sqldatareader?

You don't. Use a DataAdapter instead:

var ds = new DataSet();

using(var conn = new SqlConnection(connString))
{
    conn.Open();
    var command = new SqlCommand(InitializeQuery(), conn);
    var adapter = new SqlDataAdapter(command);

    adapter.Fill(ds);
}

if you can use DataAdapter subclass or use something as:

DataTable myTable = new DataTable();

myTable.Load(myCommand.ExecuteReader());

and then return DataTable to client.

IDataReader reader;
DataSet ds;

while (!reader.IsClosed)
   ds.Tables.Add().Load(reader);