It does not mean "Hex string to ASCII". Java strings are not ASCII, they use Unicode. ASCII codes is what you expect from the user, in the form of numeric string, no matter hexadecimal or decimal, and on output you need characters.
Also, you need to validate the user input, to allow only (printable) characters, or you should present non-printable characters in some other way.
First, you need to parse string entered by the user to the numeric value, a byte, for example,
String input;
byte value = Byte.parseByte(input, 16);
http://docs.oracle.com/javase/7/docs/api/java/lang/Byte.html#parseByte(java.lang.String)[
^],
http://docs.oracle.com/javase/7/docs/api/java/lang/Byte.html#parseByte(java.lang.String,%20int)[
^].
Note that, with the second function, you can choose the radix of expected input. Again, parsing can fail. When you get a value, you just need to typecast it to a character:
char output = (char)value;
Again, the character obtained might be not printable; so validate the value and decide what to do with that.
—SA