In step 2 of the checkout, select the "Delivering to Multiple Recipients" button. You will be shown a page where you can add as many recipients as you want for the order.
If you are logged in, you can select previously saved addresses to use in this order and add new addresses which you can save for use another time.
If you are using Guest checkout, you won't be able to save these for use again in another order.
Once you have added all the recipients, on the next screen you can allocate which products from your bag are to go to each recipient.
At each step of the checkout you can go back and change your order or the recipients and the checkout will remember what you did before so that you don't need to do it again.