Начиная с API 11 вы можете использовать MultiSelectListPreference
String[] selections = {"selection1","Selection2"};
Set<String> selectionSet = new HashSet<String>();
selectionSet.addAll(Arrays.asList(selections));
MultiSelectListPreference multiSelectPref = new MultiSelectListPreference(this);
multiSelectPref.setKey("multi_pref");
multiSelectPref.setTitle("Multi Select List Preference");
multiSelectPref.setEntries(selections);
multiSelectPref.setEntryValues(selections);
multiSelectPref.setDefaultValue(selectionSet);
getPreferenceScreen().addPreference(multiSelectPref);