You would need a repeating group to store your list of selections.
When they select from the drop down it adds a value to the list and resets itself. A list control displays the list contents as it is built.
They select another value from the dropdown, and another is added, etc.
Another option is to create a list of your values. ValueName, ValueSelect and display it in a repeating table within a scrolling region. The user would go through and check the ValueSelect checkbox for each they want. Then hit the continue button and you do what ever with ValueName with filter [ValueSelect=true]