I have this in an ActiveMQ config:
Previous answers point out correctly that you can only do this with the standard JDK tools by converting the JKS file into PKCS #12 format first. If you're interested, I put together a compact utility to import OpenSSL-derived keys into a JKS-formatted keystore without having to convert the keystore to PKCS #12 first: http://commandlinefanatic.com/cgi-bin/showarticle.cgi?article=art049
You would use the linked utility like this:
$ openssl req -x509 -newkey rsa:2048 -keyout localhost.key -out localhost.csr -subj "/CN=localhost"
(sign the CSR, get back localhost.cer)
$ openssl rsa -in localhost.key -out localhost.rsa
Enter pass phrase for localhost.key:
writing RSA key
$ java -classpath . KeyImport -keyFile localhost.rsa -alias localhost -certificateFile localhost.cer -keystore localhost.jks -keystorePassword changeit -keystoreType JKS -keyPassword changeit