To add multiple products to the same collection, click the checkmark beside each product, scroll back to the top of the page, and click on the drop-down arrow on the far left. Next, click on "Add to Collection" and choose to which collection(s) you would like to add the products! Easy Peasy!
You can also add products to a product selection quickly using the checkboxes and then select "Create Product Selection". Existing product selections can also be edited on the products tab.