Before Java 8, it was always a little awkward to take a given array of objects and populate a Set (or other collection) out of them. The various collections have constructors that accept other collections, so you could use Arrays.toList(...). However…let’s use an elegant, Java 8 way instead:

public Set<String> convert(String... members) {
    return Stream.of(members)
            .collect(Collectors.toSet());
}