If you want to select one or more Leads on the Lead list (navigate there by click "Lead List" on the left-side navigation bar) you simply need to click on the checkbox in the upper right hand corner of their profile if on the card view or the checkbox to the left of their image on the list view. You will know who you selected because they will appear red. 

You can always select more or one Leads and then perform bulk actions across the selected Leads profiles by clicking the red “actions” icon in the right hand corner. 

Shortcut - If you want to select All Leads on your list, click on the checkbox in the upper right side of your Lead list.