First, you'll need the JSSE (
Java Secure Sockets Extension) JAR/library available from Sun. This will allow it to use SSL to process HTTPS requests.
I believe, though I haven't tried it (I worked directly with sockets when writing an HTTPS-capable proxy), that you don't need to do more. However, you may need to register a protocol handler in your code. The library should provide all you need to do to set it up.