wordpress multiple categories

I’ve been looking at ways to make a form out of wp_list_categories() in order to filter posts on the basis of multiple categories. That is, if I have the categories of animals that are ‘furry’, ‘feathers’, ‘wings’ I would like to be able to choose in my sidebar two categories ‘furry’ AND ‘wings’ to show my posts on bats but not those of birds.

Jeremy Duffy’s code here –
https://www.jeremyduffy.com/computers-internet/wordpress-stuff/wordpress-multiple-categories/
– does not seem to work on my blog.

Any ideas where to start?