We actually have an awesome video if you’d like to view this: http://training.zenfolio.com/for-your-clients

Otherwise, here are the written out instructions:

You can add multiple photos to a Favorites List at once by using the Select Photos button in the Thumbnails View of the gallery.

• In the Thumbnails View of the gallery, click on the Select Photos Button.
• Move your mouse over the bottom-left corner of a photo thumbnail and click on the black circle that appears. A check mark will be added. 
• Repeat this action with each favorite photo thumbnail until you have selected all desired photos
• Or click All if you wish to select all the photos in the gallery.
• Click the Add to Favorites button.

To share with the photographer:

• To share a Favorites list with the photographer, click on the name of your set in the top left corner of the site. This will open the Favorites list.
• Click the Share Favorites button at the top of the page. A pop-up window will appear.
• In the Share to Photographer tab, edit the title of the Favorites List.
• Enter a the message to the photographer in the field provided.
• Click Share.