Normally, you can CTRL+right click to select multiple emails in a folder. You can then forward all emails at once and they will appear as attachments in the email you're composing.
I happen to have several emails that span multiple folders that I'd like to multi-select for that purpose, but it doesn't appear that there's any native functionality to allow me to preserve selections across folders. As soon as you switch folders, your selections from the previous folder are gone.
Update: I've just discovered a trick in my haste to find a solution here. I start a new message and then drag and drop emails into it. So I'll select multiple emails from one folder and drag them into the new email then I'll select multiple emails from another folder and drag and drop them into the new email. This achieves the net result I am looking for, but I am hoping to still be able to select multiple emails across different folders.