If you're doing it manually, you have to do it one by one.
But you could have a little macro do it for you.
Option Explicit
Sub testme()
Dim wks As Worksheet
Dim myPwd As String
Dim mySelectedSheets As Object
Dim myActiveSheet As Worksheet
Set mySelectedSheets = ActiveWindow.SelectedSheets
Set myActiveSheet = ActiveSheet
mySelectedSheets(1).Select True
myPwd = "hi there"
For Each wks In mySelectedSheets
With wks
If .ProtectContents _
Or .ProtectDrawingObjects _
Or .ProtectScenarios Then
'already protected!
'wanna unprotect them?
'.Unprotect Password:=myPwd
Else
.Protect Password:=myPwd
End If
End With
Next wks
mySelectedSheets.Select
myActiveSheet.Activate
End Sub
Just group your sheets you want protected first.
If you're new to macros, you may want to read David McRitchie's intro at:
http://www.mvps.org/dmcritchie/excel/getstarted.htm