In Grid View (G) or on the Film Strip just select the ones that you want (maybe by having created a Quick Collection) and then Select All. After this just just do File / Export.
Thanks Michael, that's the way to do it via saved files.
LR actually has a lovely feature reached by right click which enables your selected picture to be rendered and dropped straight into photoshop but it only accepts one at a time even though several are selected.
It would be great if all the selected images were dumped together.