I don't blame you for being confused. In order to do this correctly you have to visit a couple of areas of the Print sheet. First, within the sheet, choose Layout from the pop-up menu. In the Pages per Sheet pop-up menu, choose 4 (or the number of slides you want to appear on each page). Next, click the pop-up menu that now reads Layout and choose Keynote. In the Print area of the resulting sheet, select Individual Slides rather than Handout.