Hi,
If you want to do warehouse shipment for multi location then in Sales order line you can choose item wise location code, which can be any location code you can choose it, but in sales header, location code can be chosen only 1.
If you do this then later you can not bifurcate your orders based on the sales order header level because inside like it is multi location & outside it will show only 1 location.
So for that my suggestion is, you have to make 1 sales order for 1 location & second sales order for other location.