Wordpress $wpdb. Insert Multiple Records

OK, I figured it out!

Setup arrays for Actual Values, and Placeholders

$values = array();
$place_holders = array();

the initial Query:

$query = "INSERT INTO orders (order_id, product_id, quantity) VALUES ";

Then loop through the the values you're looking to add, and insert them in the appropriate arrays:

foreach ( $_POST as $key => $value ) {
     array_push( $values, $value, $order_id );
     $place_holders[] = "('%d', '%d')" /* In my case, i know they will always be integers */
}

Then add these bits to the initial query:

$query .= implode( ', ', $place_holders );
$wpdb->query( $wpdb->prepare( "$query ", $values ) );

You can also use this way to build the query:

$values = array();

// We're preparing each DB item on it's own. Makes the code cleaner.
foreach ( $items as $key => $value ) {
    $values[] = $wpdb->prepare( "(%d,%d)", $key, $value );
}

$query = "INSERT INTO orders (order_id, product_id, quantity) VALUES ";
$query .= implode( ",\n", $values );