How do I create a question on a form that allows the user to "select all that apply"

You will need to use the Multiple Choice field: 

You will also find more multiple entries widgets here: https://widgets.jotform.com/category/multiple_entries 

This guide will help you adding it to your form: https://www.jotform.com/help/252-How-to-Add-a-Widget-to-Your-Form 

I hope this helps.