You need to start by creating a report that is as wide as your page layout.  In my example this was 8.5".   Then you set the number of columns and how they will be laid out on the page.   My example has two columns that are 3.85" wide.   Next I place the text boxes and labels in the report, making sure they will fit within the confines determined by the column settings; in my case that would be 3.7097" wide.  The report will have to be tweaked to adjust background colors and vertical spacing.

You can create your report to be just wide enough for one column of data and then in the page setup of the report, you can tell it how many columns to allow per page.

Richard shows this technique in the Product Catalog extended cut.

Ahh, Gary beat me to it, lol

Just note that when you use multi-column in reports, it will not show in report view. It will only show in print view.