A very useful way of sorting by multiple columns was posted by Reid Havens of Havens Consulting. For example, this allows you to keep related fact table dates organized together for a single customer. You accomplish this by creating a new table, sorting as you wish, and adding an index column to retain the sort order. Watch the video for the details. This is a very handy tool to keep in your toolbox of Power BI tricks!
In the video he adds a step to save the sort order using a buffer. A blog entry by Ken Puls of Excel Guru explains why. Very interesting!