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Select all of the actions using the normal Mac procedures. Bring up the inspector and any changes you make (such as setting the context) will be applied to all of the actions.

In context mode, the parent items (projects or action groups) show up as available when all the children are completed, so long as you haven't turned off that option in the preferences. This way, you can immediately see that you have exhausted all of the actions in that project and either add more or mark it complete. Also, a new child action inherits the context of the parent, so if you have a project where many actions will have the same context, you can set it for the project and save some effort while fleshing out the project.