Without any workbook, I'm just guessing at your setup, but as a general rule, you can create a view that will serve as your "filter."
Just drag the dimension you want to be able to filter by onto the rows shelf of a new view and call that view "filter" or something.
Then pull that view onto your dashboard and hook up a filter action on the field. (Make sure that field is present in some way on the view you want to be influenced by the filter.)
Then, the user can hold Ctrl and click to select/deselect any number of choices.
They can also drag a box around contiguous lines to multi-select.
Is that what you're after?
Not exactly. What if you already have a filter on a sheet, you go to another sheet and you see a data point that you would like to add to that filter. If you use an action, the filter will override the original filter and you lose your original selection.
I would was wondering if there is a way to just add that point the the filter.
I don't know of any way to do that "locally on a view" (similarly to the "Keep Only" or "Exclude" option you get from the tooltip pop-up). You can make your filter global and a custom-value list where the user can just notice the new value, then type in part or all of the text and hit enter, then add it to the filter members.