detect last foreach loop iteration

For simplicity and understandability, imo, would do:

Set<String> names = new HashSet<>();
Iterator<String> iterator = names.iterator();
    while (iterator.hasNext()) {
        String name = iterator.next();
        //Do stuff
        if (!iterator.hasNext()) {
            //last name 
        }
     }

Also, it depends on what you're trying to achieve. Let's say you are implementing the common use case of separating each name by coma, but not add an empty coma at the end:

Set<String> names = new HashSet<>();
names.add("Joao");
names.add("Pereira");

//if the result should be Joao, Pereira then something like this may work
String result = names.stream().collect(Collectors.joining(", "));

Other answears are completely adequate, just adding this solution for the given question.

Set<String> names = new HashSet<>();

   //some code
   int i = 0;

for (String name: names) {
    if(i++ == names.size() - 1){
        // Last iteration
    }
   //some code

}

There isn't, take a look at How does the Java 'for each' loop work?

You must change your loop to use an iterator explicitly or an int counter.