You can do that by using the order batching feature. Do that by going to the shopping cart icon in your navigation bar and choosing Batch Orders. Then create a new batch using this button:
Add the orders you want to the batch, choose the rest of the setting (have a labor process updated, name the batch, choose the exporter you want to export, save the batch for later or export it now):
If you choose to export now it will remove all those orders from this list, export the file you chose and then update the labor processes if you chose any. If you choose the checkbox "save for later" it will save it in a tidy little batch on the previous page.