Usually done with a very large rotary switch in a metal box that has a lot of shielding plates inside to keep cross interference down.
As Bertus asked - what frequency, power level (if used on a transmitter) and are you wanting it electronically switched or just what us old ham radio operators used to use?
Rotary switches are the typical way to go with either make-before-break or break-before-make configuration, but I've also seen multi-throw slide switches.