• Copy the column in Excel
• Open Word
• "Paste special" as text only
• Select the data in Word (the one that you need to convert to text separated with ,), press Ctrl-H (Find & replace)
• In "Find what" box type ^p
• In "Replace with" box type ,
• Select "Replace all"

I assume that what you really want is the string "'a', 'b', 'c', 'd'". We can use shQuote to quote the elements and toString to turn them into a single comma separated string. Finally insert it into the SQL statement using sprintf:

lets <- c("a", "b", "c", "d")

s <- toString(shQuote(lets))
s
## [1] "'a', 'b', 'c', 'd'"

sql <- sprintf("select * from mytab where mycol in (%s)", s)
sql
## [1] "select * from mytab where mycol in ('a', 'b', 'c', 'd')"

You can also use fn$ from the gsubfn package to perform the insertion. sqldf automatically loads gsubfn so this works using s from above:

library(sqldf)
fn$sqldf("select 'b' in ($s) as isPresent")
##   isPresent
## 1         1