All the credit goes to below blog post -
https://www.soliantconsulting.com/blog/create-a-custom-salesforce-lightning-multiselect-component
As I am not able to get the result immediately and spent sometime to figure out few issues, I am posting my version which might help some of you.
Server Classes -
Custom Event to fire -
Reusable component -
Using the above component -
Hold the 'Shift' key to select the multiple values.