Optimize multiple or Statements for a Set<String>

I suggest you just keep a list or array of the values to test against:

private static final List USER_ROLES_TO_SAVE = Arrays.asList(
     StaticValues.LUMEN_SELECT_USER_ROLE,
     StaticValues.EASY_SENSE_USER_ROLE,
     StaticValues.TLED_USER_ROLE,
     StaticValues.IR_APP_USER_ROLE);

protected void saveUserRoles(Set<String> userRoles) {
    if (userRoles == null) {
        return;
    }
    for (String candidate : USER_ROLES_TO_SAVE) {
         if (userRoles.contains(candidate)) {
             preferences.setUserRoles(userRoles);
             return;
         }
    }
}

That's now very easy to maintain and read - and as for performance, if you're only looking at expanding the list to about 8 entries, there's no point in trying to get fancy - I would be absolutely astonished if this became the bottleneck, and finding anything faster in terms of complexity than O(N) is unlikely to be useful given how small N is in this case.