If you happen to be doing this on Android, there is a nice utility for this called TextUtils which has a .join(String delimiter, Iterable) method.

List<String> list = new ArrayList<String>();
list.add("Item 1");
list.add("Item 2");
String joined = TextUtils.join(", ", list);

Obviously not much use outside of Android, but figured I'd add it to this thread...

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

In Java 8+ you could use a StringJoiner (and you can use Arrays.asList(T...) to initialize your List). Something like,

List<String> list = Arrays.asList("one", "two", "three");
StringJoiner sj = new StringJoiner(",");
for (String s : list) {
    sj.add(s);
}
System.out.println(sj.toString());

Output is (as requested)

one,two,three

With Java 8:

String csv = String.join(",", ids);

With Java 7-, there is a dirty way (note: it works only if you don't insert strings which contain ", " in your list) - obviously, List#toString will perform a loop to create idList but it does not appear in your code:

List<String> ids = new ArrayList<String>();
ids.add("1");
ids.add("2");
ids.add("3");
ids.add("4");
String idList = ids.toString();
String csv = idList.substring(1, idList.length() - 1).replace(", ", ",");