Including the parameter values to the physical report so they get printed with the business data is a best practice and for good reason.  I have seen several printed reports that you could not tell the date ranges, products, etc… the report was ran for.

The Join function in SSRS will allow you to add multi-select parameter values to a report.  The syntax is rather simple as below.  The delimiter is option and if not used the default is a space.

=Join(Parameters!<parameter>.Label, <delimiter>)

If you have a parameter of say ProductBrand and wanted the values to be separated by a comma, the syntax that you would insert as the text box expression would be:

=Join(Parameters!ProductBrand.Label, ", ")