You can use Character.toString(char). Note that this method simply returns a call to String.valueOf(char), which also works.
As others have noted, string concatenation works as a shortcut as well:
String s = "" + 's';
But this compiles down to:
String s = new StringBuilder().append("").append('s').toString();
which is less efficient because the StringBuilder is backed by a char (over-allocated by StringBuilder() to 16), only for that array to be defensively copied by the resulting String.
String.valueOf(char) "gets in the back door" by wrapping the char in a single-element array and passing it to the package private constructor String(char, boolean), which avoids the array copy.