LINQ select to new object, setting values of object in function

I am using LINQ to select a new twoWords object into a List of this objects, and set the values by calling a function/method.

Please see if this makes sense, I have simplified it a lot. I really want to use the linq statements from select.

The first function in GOGO will work, the second one fails (they do not perform the same task though)

// simple class containing two strings, and a function to set the values
public class twoWords
{
    public string word1 { get; set; }
    public string word2 { get; set; }

    public void setvalues(string words)
    {
        word1 = words.Substring(0,4);
        word2 = words.Substring(5,4);
    }
}

public class GOGO
{

    public void ofCourseThisWillWorks()
    {
        //this is just to show that the setvalues function is working
        twoWords twoWords = new twoWords();
        twoWords.setvalues("word1 word2");
        //tada. object twoWords is populated
    }

    public void thisdoesntwork()
    {
        //set up the test data to work with
        List<string> stringlist =  new List<string>();
        stringlist.Add("word1 word2");
        stringlist.Add("word3 word4");
        //end setting up

        //we want a list of class twoWords, contain two strings : 
        //word1 and word2. but i do not know how to call the setvalues function.
        List<twoWords> twoWords = (from words in stringlist 
                            select new twoWords().setvalues(words)).ToList();
    }
}

The second function of GOGO will cause an error :

The type of the expression in the select clause is incorrect. Type inference failed in the call to 'Select'.

My question is, how do I select the new twoWords object in the above from clause, while setting the values using the setvalues function?