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

Arrays.asList returns a fixed-size List backed by the array. If you want a normal mutable java.util.ArrayList you need to do this:

List<String> list = new ArrayList<String>(Arrays.asList(string.split(" , ")));

Or, using Guava:

List<String> list = Lists.newArrayList(Splitter.on(" , ").split(string));

Using a Splitter gives you more flexibility in how you split the string and gives you the ability to, for example, skip empty strings in the results and trim results. It also has less weird behavior than String.split as well as not requiring you to split by regex (that's just one option).