I’ve added to that thread a description how it can be done using the “Multiple choice” parameter type with a visual query, not custom SQL.
For custom SQL, you can also use a multiple choice parameter to specify a list of values to filter.
Then create a calculated parameter {Calculated_Industry} calculated as below:
IF len({Industry})>0 THEN
'"' & replace({Industry}, ',', '","') & '"'
The calculation takes a list of comma-delimited values from the multiple choice parameter (e.g. A,B,C) and wraps each value in double quotes (i.e. "A","B","C") to make it work in custom SQL.
Finally Insert the parameter right into the SQL query as follows:
WHERE [Industry] in ({Calculated_Industry})