Hi Santosh,
You can follow the above method and can add Search help exit and can add below code.
IF callcontrol-step = 'SELECT'.
CALLCONTROL-MULTISEL = 'X'.
ENDIF.
With the above code, you will able to see the check box for the customized saecrh help.
If you want check box for only the customized saecrh help as we maintain at event At Selection screen ON VALUE REUEST. I recommened you to look below link.
http://scn.sap.com/thread/1628426
Regards,
Siva