As a note, the docs don't show the (optional) second parameter nor mention the existence of the Phar::OPENSSL class constant also available for use with this method.
To sign a phar with OpenSSL, for example...
<?php
$phar = new Phar('somephar.phar');
// ... add your files and such
$phar->setSignatureAlgorithm(Phar::OPENSSL, file_get_contents('private_key_here.pem'));
// ... do whatever else you want afterwards here ...
?>
Hope this proves useful to someone.