You can use backslash for line continuation. However note that the shell receives the whole command concatenated into a single line, so you also need to terminate some of the lines with a semicolon:
foo:
for i in `find`; \
do \
all="$$all $$i"; \
done; \
gcc $$all
But if you just want to take the whole list returned by the find invocation and pass it to gcc, you actually don’t necessarily need a multiline command:
foo:
gcc `find`
Or, using a more shell-conventional $(command) approach (notice the $ escaping though):
foo:
gcc $$(find)