The key is to pass the parameter's multiple values as a comma (or other character) delimited string. To do this, configure your parameter (using a parameter named @department as an example) in the "Configure data source parameters" step of the data source configuration wizard to join the selected values together using the syntax:
Now we need a table-valued function in the database to convert the comma delimited list string to a table of values. Here is what I used:
Now you can utilize the passed parameter in your main report data source SQL query by using the following syntax in your WHERE clause:
In my example I'm allowing for a supplied NULL, empty string or 'All' value top denote selecting all departments.
Hope this helps some of you out.