There's indeed no straightforward way to do this in JDBC. Some JDBC drivers seem to support PreparedStatement#setArray() on the IN clause. I am only not sure which ones that are. 
You could just use a helper method with String#join() and Collections#nCopies() to generate the placeholders for IN clause and another helper method to set all the values in a loop with PreparedStatement#setObject().
public static String preparePlaceHolders(int length) {
    return String.join(",", Collections.nCopies(length, "?"));
}
public static void setValues(PreparedStatement preparedStatement, Object... values) throws SQLException {
    for (int i = 0; i < values.length; i++) {
        preparedStatement.setObject(i + 1, values[i]);
    }
}
Here's how you could use it:
private static final String SQL_FIND = "SELECT id, name, value FROM entity WHERE id IN (%s)";
public List<Entity> find(Set<Long> ids) throws SQLException {
    List<Entity> entities = new ArrayList<Entity>();
    String sql = String.format(SQL_FIND, preparePlaceHolders(ids.size()));
    try (
        Connection connection = dataSource.getConnection();
        PreparedStatement statement = connection.prepareStatement(sql);
    ) {
        setValues(statement, ids.toArray());
        try (ResultSet resultSet = statement.executeQuery()) {
            while (resultSet.next()) {
                entities.add(map(resultSet));
            }
        }
    }
    return entities;
}
private static Entity map(ResultSet resultSet) throws SQLException {
    Enitity entity = new Entity();
    entity.setId(resultSet.getLong("id"));
    entity.setName(resultSet.getString("name"));
    entity.setValue(resultSet.getInt("value"));
    return entity;
}
Note that some databases have a limit of allowable amount of values in the IN clause. Oracle for example has this limit on 1000 items.