Thanks for your reply Mendoza. What you are referring to is the parameter automation drop-down list. Which is cool but you have to re-click it for each parameter and then search through the sublists again.
The Reason manual shows another option for automating multiple parameters that brings up a dialog box with check boxes next to each parameter, where you can check all the parameters you want to create automation lanes for in one shot. I don't know, maybe that was taken out in version 6.5 because you're supposed to be able to find that option from the Edit menu or context menu and it doesn't appear to be there.