You could count the total length of the string first, and pass it to the StringBuilder constructor. And you do not need to convert the Set first.

Set<String> abc = new HashSet<String>();
abc.add("A");
abc.add("B");
abc.add("C");

String separator = ", ";
int total = abc.size() * separator.length();
for (String s : abc) {
    total += s.length();
}

StringBuilder sb = new StringBuilder(total);
for (String s : abc) {
    sb.append(separator).append(s);
}

String result = sb.substring(separator.length()); // remove leading separator

for converting to comma seperated String use something like this:

String commaSeparatedStr = addresses
        .stream()
        .map(String::valueOf)
        .collect(Collectors.joining(","));