To hyphenate or not?
Which is the proper one? I mainly use this term in computer terminology, like "grid multicolumn sorting".
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There isn't a "proper" one; both are used, both have the same meaning, and both would be understood. The only difference is that one is a hyphenated compound noun from a prefix and a noun, and the other is a closed compound noun from a prefix and a noun.
Style guides may favour one or the other, in different cases; whether always hyphenating unless a given closed form is very common, always closing, or always closing unless it brings two vowels together. (The New Yorker style guide always closes and uses a diaeresis if two vowels are brought together, but it's a very unusual one, not used much anywhere else). Some style guides have rules about particular prefixes, or other specific cases (h/t to tchrist).
People do tend to close more often than hyphenate the more used they are to a given construct, so if you've neither a style guide to follow, or a strong personal preference, you can close if your readers are likely to be used to the term, and hyphenate otherwise.