Feature selection on multi-label documents for automatic text categorization is an under-explored research area. This paper presents a systematic document transformation framework, whereby the multi-label documents are transformed into single-label documents before applying standard feature selection algorithms, to solve the multi-label feature selection problem. Under this framework, we undertake a comparative study on four intuitive document transformation approaches and propose a novel approach called Entropy-based Label Assignment (ELA), which assigns the labels weights to a multi-label document based on label entropy. Three standard feature selection algorithms are utilized for evaluating the document transformation approaches in order to verify its impact on multi-class text categorization problems. Using a SVM classifier and two multi-label evaluation benchmark text collections, we show that the choice of document transformation approaches can significantly influence the performance of multi-class categorization and that our proposed document transformation approach ELA can achieve better performance than all other approaches.