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...