Get set of Ids from SObject List

You don’t need to iterate through the list of SObjects to get the set of their Ids:

Set<Id> leadsIds = new Set<Id>();

for (Lead l : leads) {
    leadsIds.add(l.Id);
}

You can simply cast your List to Map and then use keyset:

Set<Id> leadsIds = (new Map<Id, Lead>(leads)).keySet();

Get set of Ids from your SObject list without iteration

You can also do that directly on SOQL query result:

Set<Id> leadsIds = new Map<Id, Lead>([
    SELECT Id FROM Lead LIMIT 10
]).keySet();