Sorry NO way then doing it for each component.
There is an idea submitted for auto adding of exploded lines
Your description doesn't have enough detail to determine exactly what you are trying to do.
If the components are all along the same line, you only need one explode line. It will trim itself around all the other components in between.
If you are talking about components along different (but parallel) explode lines, I can say that the fastest way I have found to create the explode lines is to use the magnifying glass tool (the 'G' hotkey). Rotate your view until you can see the features at both ends and use the magnifying glass to quickly select the geometry to connect with the explode lines. The avoid a lot of zooming in/out and rotation. Creating a split viewport (Window...Viewport...Two View...) can also help.
Thanks for the response. Jim is correct that I didn't specify very well in my description what I was trying to accomplish - and he proactively answered for both scenarios to save time. Good man. To clarify, my situation is with his later answer: many parts on individual parallel exploded lines.
It sounds as though there is no solution to the root cause, rather auxiliary solutions to sooth the Carpal tunnel.
A third solution - if others continue to read this post - is to explore SolidWorks Composer. I've seen creating documentation where exploded lines are required and interactive BOMs needed can be a much easier/quicker task ... but this solution needs cost justification.