Does it need to be whilst iterating? If all you're doing is filtering or selecting I would suggest using Apache Commons CollectionUtils. There are some powerful tools there and it makes your code "cooler."
Here's an implementation that should provide what you need:
Set myIntegerSet = new HashSet();
// Integers loaded here
CollectionUtils.filter( myIntegerSet, new Predicate() {
public boolean evaluate(Object input) {
return (((Integer) input) % 2 == 0);
}});
If you find yourself using the same kind of predicate frequently you can pull that out into a static variable for reuse... name it something like EVEN_NUMBER_PREDICATE. Some may see that code and declare it "hard to read" but it looks cleaner when you pull out the Predicate into a static. Then it's easy to see that we're doing a CollectionUtils.filter(...) and that seems more readable (to me) than a bunch of loops all over creation.
