It depends on how efficient you need things to be. Simply iterating over the list looking for the element which satisfies a certain condition is O(n), but so is ArrayList.Contains if you could implement the Equals method. If you're not doing this in loops or inner loops this approach is probably just fine.
If you really need very efficient look-up speeds at all cost, you'll need to do two things:
Of course, building this HashSet still has a O(n) cost. You are only going to gain anything if the cost of building the HashSet is negligible compared to the total cost of all the contains() checks that you need to do. Trying to build a list without duplicates is such a case.