Create your zone & give it a name, ex: AD-CAMPAIGN-300x250. For size, mine is the IAB Medium Rectangle (300x250). Then uploaded your 300x250 banners to the campaign. Next, go to Zone & choose your AD-CAMPAIGN-300X250 zone, then select the Linked Banners tab. For mine, I chose to Link banners by parent campaign, and every banner of that size in the campaign is automatically included.
For making it work on a sidebar I used the openx widget. It works on my site, WP v3.9.1.