No you can't set a start/end frame for each action as the start and end frame is a setting that is global for the current scene.
Pressing E while your cursor is over the timeline will set the end frame to the current frame. A quick click at the last keyframe and a keystroke is easier than manually entering the end frame number. You can also press S to set the start frame. This only works on the timeline as S and E are shortcuts for other things in most editors.
There is also a preview frame range setting, this allows you to adjust the start and end frames while animating without changing the frames that are used when rendering. This is useful when you only want to play a section of the animation that you are concentrating on.
The preview range leads to a shortcut that makes changing the frame range even easier while animating, press P and drag from the start to end frame to set the preview range. This works in any of the time based editors - timeline, dopesheet, graph editor, NLA editor, video sequencer.