I found myself in the same situation and after reviewing many posts couldn't find a simple solution. Then by light bulb turned on.

This is what I did

1) I set on of the parameters of my SP for my dataset as:

="SELECT '"+JOIN(Parameters!MultiValue1.Value,"' UNION SELECT '") + "'"

This works for 1,2,...N values selected and it creates a string like this:

SELECT 'Value1' UNION

SELECT 'Value2'

.

.

.

2) In my SP i placed this code

CREATE TABLE #Tbl_MultiValues(Value_ VARCHAR(100))

DECLARE @SQLStr VARCHAR(8000)

SET @SQLStr = 'INSERT INTO #Tbl_MultiValues' + @Value_

EXECUTE (@SQLStr);

Then in my WHERE clause

WHERE TableValue IN(SELECT * FROM #Tbl_MultiValues)

I hope you find this trick usefull...