Until release 2022.0 this was not possible. Starting with 2024.0 it is: Allow multiple selection in song database.
Please also note the recent post:
It says:
“If you want to be sure you don’t lose anything, then backup your “.quelea” folder in your home directory first. If you’re on windows, it’ll be somewhere like “C:\users\USERNAME.quelea”. (This way if anything does go wrong, you can just reinstall 2018.0, copy that directory back in place and you won’t have lost anything.”