On MPH, you make a wallet for each coin you will mine.  In that wallet screen, you give the address where payments will be sent.

Auto-exchange lets you mine coin-A and MPH swaps that for coin-B, into your wallet, then paid out once the threshold is reached. 
You need wallets for each coin - each must have a place to land.  (i think.)

I guess auto exchange is useful if you want/need to end up with coin that you cannot mine natively. 

My experience with multi-coin was neutral.  Tried ETH+SIA with Claymore.  Was not as fast as single coin mining, and I did not want to hassle with exchanging SIA for something I can trade with.