zneak has some pretty good ideas, but here's one involving iterators in the loop:
std::set<std::string> lines;
lines.insert("Hello");
lines.insert("Thar");
lines.insert("How");
lines.insert("Goes");
lines.insert("It");
for (const auto& line : lines) {
auto it = lines.find(line);
it++;
std::cout << std::boolalpha << (it == lines.end()) << std::endl;
}