(import 'java.util.regex.Pattern)

(def my-set #{"foo.clj" "bar.clj" "baz.clj"})

(defn set->pattern-str [coll] 
  (->> coll
    (map #(Pattern/quote %))
      (clojure.string/join \|)
	   re-pattern))

(println (set->pattern-str my-set))