Sometimes, you want to process all your dimensions in one go, before processing your cube. This isn't an option in SSMS, you either do the dimensions one after the other manually, or you go for the whole database.
Fortunately, Vidas Matelis has written some rather nifty PowerShell scripts to help you out.
http://www.ssas-info.com/VidasMatelisBlog/116_powershell-scripts-to-process-dimensions-and-print-ssas-db-info
I've used his script for processing the whole database mostly over the last few weeks:
http://www.ssas-info.com/analysis-services-scripts/1238-powershell-script-to-process-all-dimensions-and-cubes-in-one-db-limiting-workload
You might have to sign the PowerShell scripts in order to make it work. I used this tutorial to sign my script and have it run locally.
The only thing I'd like to change with the dimension processing script is that all errors are written to the command prompt window. There are two problems with that:
1) The window disappears when the code has finished running
2) The window isn't scrollable, so even though the error messages are staying put (untill the window disappears), you can't go back and see what other dimension were also not being processed properly.
I'm going to investigate writing error messages with the hubby, who is 100 times better at PS than I am.