Hi James,
That is a good question, it is easier to do than you would think.
Firstly - On your Constant Set you will need to tick "Allow Multiple Selections (Flag Based)". This will make your choices incriment in powers of 2 (1, 2, 4, 8, 16 etc) and is then stored as the sum of what has been selected. For example 10 can ONLY be made from 8 and 2.
Secondly - The control you will need is the "Checkbox Group". This shows all of your options as a collection of checkboxes. If you have a lot of options I would suggest using the "Columns" setting so it presents them in a tidier fashion.
Shaun