How to use the v7/v14 Preference Support library?

You have to extend AppCompatActivity, which is required for fragment, and include a subclass of PreferenceFragmentCompat. The abstract fragment requires to override one method, in which you should place your preference inflation logic. And last, your activity theme needs to specify a preferenceTheme attribute.

Read the announcement here. With preference-v7 library you can replace PreferenceFragment (API 11+) with PreferenceFragmentCompat subclass, and SwitchPreference (API 14+) with SwitchPreferenceCompat and have your settings screen work from API 7.

Below is how I made it work:

SettingsActivity.java

public class SettingsActivity extends AppCompatActivity {

    @Override
    protected void onCreate(Bundle savedInstanceState) {
        super.onCreate(savedInstanceState);
        setContentView(R.layout.activity_settings);
    }
}

layout/activity_settings.xml

<?xml version="1.0" encoding="utf-8"?>
<FrameLayout xmlns:android="http://schemas.android.com/apk/res/android"
    android:layout_width="match_parent" android:layout_height="match_parent" >
    <fragment
        android:name=".SettingsFragment"
        android:tag=".SettingsFragment"
        android:layout_width="match_parent"
        android:layout_height="match_parent" />
</FrameLayout>

SettingsFragment.java

public class SettingsFragment extends PreferenceFragmentCompat {

    @Override
    public void onCreatePreferences(Bundle bundle, String s) {
        addPreferencesFromResource(R.xml.preferences);
    }
}

xml/preferences.xml

<?xml version="1.0" encoding="utf-8"?>
<android.support.v7.preference.PreferenceScreen xmlns:android="http://schemas.android.com/apk/res/android"
    android:layout_width="match_parent" android:layout_height="match_parent">

    <android.support.v7.preference.PreferenceCategory
        ...>

        <android.support.v7.preference.ListPreference
            ... />

        <android.support.v7.preference.SwitchPreferenceCompat
            ... />

        ...

    </android.support.v7.preference.PreferenceCategory>

    ...

</android.support.v7.preference.PreferenceScreen>

values/styles.xml

<style name="AppTheme" parent="Theme.AppCompat.NoActionBar">
    <item name="preferenceTheme">@style/PreferenceThemeOverlay</item>
    ...
</style>

preference-v7 default theme

<style name="PreferenceThemeOverlay">
    <item name="preferenceScreenStyle">@style/Preference.PreferenceScreen</item>
    <item name="preferenceFragmentStyle">@style/PreferenceFragment</item>
    <item name="preferenceCategoryStyle">@style/Preference.Category</item>
    <item name="preferenceStyle">@style/Preference</item>
    <item name="preferenceInformationStyle">@style/Preference.Information</item>
    <item name="checkBoxPreferenceStyle">@style/Preference.CheckBoxPreference</item>
    <item name="switchPreferenceCompatStyle">@style/Preference.SwitchPreferenceCompat</item>
    <item name="dialogPreferenceStyle">@style/Preference.DialogPreference</item>
    <item name="editTextPreferenceStyle">@style/Preference.DialogPreference.EditTextPreference</item>
    <item name="preferenceFragmentListStyle">@style/PreferenceFragmentList</item>
</style>

hidro's answer is right but one more thing here to notice:

Just use normal preference xml tags such as PreferenceScreen instead of the full class name. The support library will convert them automatically.

Why: If you use the full class name the code suggestion and layout preview will not work properly.

So you should write xml like this:

<?xml version="1.0" encoding="utf-8"?>
<PreferenceScreen xmlns:android="http://schemas.android.com/apk/res/android">

    <PreferenceCategory
        ...>

        <ListPreference
            ... />

        <SwitchPreferenceCompat
            ... />

        ...

    </PreferenceCategory>

    ...

</PreferenceScreen>

With the new preference support library v7 you can use the PreferenceFragmentCompat with any Activity or AppCompatActivity

public static class PrefsFragment extends PreferenceFragmentCompat {

    @Override
    public void onCreate(Bundle savedInstanceState) {
        super.onCreate(savedInstanceState);

        // Load the preferences from an XML resource
        addPreferencesFromResource(R.xml.preferences);
    }
}

You have to set preferenceTheme in your theme:

<style name="AppTheme" parent="@style/Theme.AppCompat.Light">
  ...
  <item name="preferenceTheme">@style/PreferenceThemeOverlay</item>
</style>

In this way you can customize the preferenceTheme to style the layouts used for each preference type without affecting other parts of your Activity.