One of the less discovered features in Web Author is the ability to drag select a number of components at once using the mouse. This is achieved by holding down the left mouse button for a short while before beginning the drag select. If the left mouse button isn't held down for long enough, Web Author assumes you are trying to drag the whole diagram or select an element rather than begin a drag select.
The functionality has recently been improved so that it is possible to start the drag when you are positioned in a lane, which should make it much more useful.
The other options for selecting multiple items is to select items with the mouse while holding down the CTRL/⌘ key. This works in the diagram and the Table of Contents