Here is the method to catalogue multi volume books. Here I am trying to catalogue the book "The Complete works of Swami Vivekananda". This books has nine volumes. Enter the biblio part same like any other book.
Cataloguing > New Record >
Enter volume information in Biblio and Save.
Multi volume details can be enter in item information.
Save the item and add other volume details.
See the final record in OPAC (click on the picture to get enhanced view).