If you do an airline specific search, Expedia will often bring up extra segment flights automatically.

If you know the segments you wish to add, use the 'Multiple destinations' radio button at the top, and enter the intermediate cities; e.g., SFO-IAH, IAH-SDF.

Dont forget that minimum credit for a segment is 500 miles, so SFO-MSP-SDF might yield more miles than SFO-IAH-SDF.