If the library is one specifically for processing then just go to sketch>import library…>add library… in the Processing IDE.
If it’s a external java library check out Dan Shiffman’s coding challenge where he uses OpenSimplex.java in the challenge. If I remember right you can add a .java file your sketch. I haven’t used the Processing IDE in a while so I’m not entirely sure on this one.
If you’re using processing in eclipse you import the .jar and add it to the build path. You can also check out Dan’s latest live stream (around time code 1:08:30) where he started working on porting a java library to processing. The procedure in eclipse is the exact same as when he imports core.jar.