I don't remember which tutorial i followed, but a quick google found this one: https://www.deepdotweb.com/2015/03/21/multi-signature-transactions-electrum-2-0/
Altough i haven't used this tutorial, it looks about right... If i remember correctly, those were the steps i took myself to test electrum multisig.
Ahem.. OP is asking of Copay multisig wallet and if that can be used for multisig escrows, not for electrum one.
I was a bit confused by the wording... He was asking for a multisignature wallet like copay. I'm not a native english speaker, but i assumed he used copay as an example rather than only asking about how to use copay as multisig wallet. I proposed electrum since i remember it was pretty easy to create a multisig wallet with electrum.
Sorry for the confusion.