To convert List to Set in Salesforce, add some values to List datatype and use addAll() to add it to Set datatype.

Sample Code:    

List < String > tempList = new List < String >();
Set < String > tempSet = new Set < String >();
tempList.add( 'One' );
tempList.add( 'Two' );
tempList.add( 'One' );  
System.debug(
    'tempList is' + tempList
);
tempSet.addAll( tempList ); 
System.debug(
    'tempSet is' + tempSet
);

tempList is List datatype and tempSet is Set datatype.