You don't need to setup multiple delivery addresses before you checkout but if you are going to send to the same address more than once then you can save these in advance to save time at checkout.
Select "Address Book" from the My profile menu (the little outline of a person at the top of the screen). Here you can add new addresses or edit existing addresses.
You can also select an address as your Primary Delivery Address so that it is automatically selected in future orders.
You need to be logged in to use this feature.