text: I am working on a custom payment module and I want it to support multi-shipping. Currently I have developed one that works fine, using direct server integration (i.e. the customers are not redirected to some hosted page on the gateway server, a credit card form is displayed on Magento to collect information instead).
  But now I need insights on how to make it work with payment gateways that are using hosted pages. I guess I would have to calculate a lump sum for all shipping addresses, and pass this amount to the payment gateway. But then how could I identify and update these orders when the system receives responses from the notify or return callback from the gateway? So far I could not find any similar references.
  First of all, you have to see for the payment gateway provider features. What payment gateway are you planning to integrate with?
  As you may notice, multi-shipping checkout created an order per shipping address, ending up with multiple orders in the system. You could think in terms of creating a parent virtual order and link child (real) orders created by the multi-checkout. All payment transactions should look into virtual/parent order in order to have the required information. But this can lead to a very complex solution/customization for supporting Hosted Payment Page.