You can use System.Linq.Expressions to construct a "trampoline" - a call into a method which is generic. Once you're inside that generic method, then you can start using T naturally when you need to talk about the type. Here I'm using BuildClassItem directly as the target for the trampoline:
using System;
using System.Linq;
using System.Linq.Expressions;
using System.Reflection;
namespace Exercise
{
    class Program
    {
        static void Main(string[] args)
        {
            var obj = GetObjectSet();
            //We know obj is an ObjectSet<T> for unknown T
            var t = obj.GetType().GetGenericArguments()[0];
            var parm = Expression.Parameter(typeof(object));
            var objectSet = typeof(ObjectSet<>).MakeGenericType(t);
            var method = typeof(Program).GetMethod("BuildClassItem", BindingFlags.Static | BindingFlags.NonPublic).MakeGenericMethod(t);
            var trampoline = Expression.Lambda(
                Expression.Call(null, method, Expression.Convert(parm,objectSet)), new[] {parm});
            var dele = (Action<object>) trampoline.Compile();
            dele(obj);
            Console.WriteLine("Done");
            Console.ReadLine();
        }
        static void BuildClassItem<T>(ObjectSet<T> entities) where T : class
        {
            Console.WriteLine("We made it!");
        }
        static object GetObjectSet()
        {
            return new ObjectSet<string>();
        }
    }
    internal class ObjectSet<T> where T:class
    {
    }
}
If you have more work to do between finding the type T and calling BuildClassItem you'd still want to put all of that logic inside a generic method in T and construct a void call into it. You can't "say" the name of the type from outside a generic method so you have no way of storing the returned value from your MyConvert function in a correctly typed variable. So you need to move all of the logic into it.