From 'Fast Dice Rolling', page 179 (emphasis added):
However, it is possible to speed up your battles by rolling the dice for similar attacks together. In order to make several attacks at once, all of the attacks must have the same Ballistic Skill (if it’s a shooting attack) or the same Weapon Skill (if it’s a close combat attack). They must also have the same Strength, Armour Penetration and Damage characteristics, and they must be directed at the same unit. If this is the case, make all of the hit rolls at the same time, then all of the wound rolls. Your opponent can then allocate the wounds one at a time, making the saving throws and suffering damage each time as appropriate.
Wound allocation, saving throws and damage are done one at a time.