Just a note for future readers: Using a .java file in a sketch is also a way to include java in Processing, but it is not a library.
In Processing with the PDE, a “library” refers to a compiled jar file, which you can import with import. For most users these can be installed with Contributions Manager, and the jar is kept outside the sketch. Or the jar file – including ones that are not available through Contributions Manager – can be included directly in your sketch, for example in a \code folder.