You get an OutOfMemoryError because your program requires more memory than the JVM has available. There is nothing you can specifically do at runtime to help this.
As noted by krosenvold, your application may be making sensible demands for memory but it just so happens that the JVM is not being started with enough (e.g. your app will have a 280MB peak memory footprint but the JVM only starts with 256MB). In this case, increasing the size allocated will solve this.
If you feel that you are supplying adequate memory at start up, then it is possible that your application is either using too much memory transiently, or has a memory leak. In the situation you have posted, it sounds like you are holding references to all of the million items in memory at once, even though potentially you are dealing with them sequentially.
Check what your references are like for items that are "done" - you should deference these as soon as possible so that they can be garbage collected. If you're adding a million items to a collection and then iterating over that collection, for example, you'll need enough memory to store all of those object instances. See if you can instead take one object at a time, serialise it and then discard the reference.
If you're having trouble working this out, posting a pseudo-code snippet would help.