The question asks two separate questions: converting int[] to Integer[] and creating a HashSet<Integer> from an int[]. Both are easy to do with Java 8 streams:

int[] array = ...
Integer[] boxedArray = IntStream.of(array).boxed().toArray(Integer[]::new);
Set<Integer> set = IntStream.of(array).boxed().collect(Collectors.toSet());
//or if you need a HashSet specifically
HashSet<Integer> hashset = IntStream.of(array).boxed()
    .collect(Collectors.toCollection(HashSet::new));

Set<T> mySet = new HashSet<T>();
Collections.addAll(mySet, myArray);

That's Collections.addAll(java.util.Collection, T...) from JDK 6.

Additionally: what if our array is full of primitives?

For JDK < 8, I would just write the obvious for loop to do the wrap and add-to-set in one pass.

For JDK >= 8, an attractive option is something like:

Arrays.stream(intArray).boxed().collect(Collectors.toSet());

There are two types of array.

One Dimensional Array

Syntax for default values:

int[] num = new int[5];

Or (less preferred)

int num[] = new int[5];

Syntax with values given (variable/field initialization):

int[] num = {1,2,3,4,5};

Or (less preferred)

int num[] = {1, 2, 3, 4, 5};

Note: For convenience int[] num is preferable because it clearly tells that you are talking here about array. Otherwise no difference. Not at all.

Multidimensional array

Declaration

int[][] num = new int[5][2];

Or

int num[][] = new int[5][2];

Or

int[] num[] = new int[5][2];

Initialization

 num[0][0]=1;
 num[0][1]=2;
 num[1][0]=1;
 num[1][1]=2;
 num[2][0]=1;
 num[2][1]=2;
 num[3][0]=1;
 num[3][1]=2;
 num[4][0]=1;
 num[4][1]=2;

Or

 int[][] num={ {1,2}, {1,2}, {1,2}, {1,2}, {1,2} };

Ragged Array (or Non-rectangular Array)

 int[][] num = new int[5][];
 num[0] = new int[1];
 num[1] = new int[5];
 num[2] = new int[2];
 num[3] = new int[3];

So here we are defining columns explicitly.
Another Way:

int[][] num={ {1}, {1,2}, {1,2,3,4,5}, {1,2}, {1,2,3} };

For Accessing:

for (int i=0; i<(num.length); i++ ) {
    for (int j=0;j<num[i].length;j++)
        System.out.println(num[i][j]);
}

Alternatively:

for (int[] a : num) {
  for (int i : a) {
    System.out.println(i);
  }
}

Ragged arrays are multidimensional arrays.
For explanation see multidimensional array detail at the official java tutorials

Apache's ArrayUtils has this (it still iterates behind the scenes):

doSomething(ArrayUtils.toPrimitive(hashset.toArray()));

They're always a good place to check for things like this.