Based on the data model below

And based on user input I create a NSSet of managedObjects
The simplest way to do this:
[NSPredicate predicateWithFormat:@"entryTags IN %@", selectedTags];
You don't need the ALL clause. It's also documented here:
Predicate Programming guide
And as you can see in this post the user does it successfully (read the comments to the original question)
NSPredicate iPhone 3.2 SDK Core Data “IN clause”...