To get a Mendix object, I would use the proxy classes that are generated for all the entities in the domain model. Create an object using one of these, then use the getMendixObject() method on it to get the Mendix object back.
To create a list, I would just create an ArrayList of IMendixObject and add the objects you created to that and return it.
For example, if you have a SapData entity in your domain model, with a Name attribute, you could use something like this to create the object, set the attribute, add it to a list, and return it in a Java action.
List<IMendixObject> returnList = new ArrayList<IMendixObject>();
SapData sapData = new SapData(this.getContext());
sapData.setName("Test");
returnList.add(sapData.getMendixObject());
return returnList;
Hope this helps