That will leave you at the prompt to select Dimensions, as many as you want to change all at once, by any selection method(s) and options you like.  You could also make one that's self-repeating, letting you pick just one, and you would see the change immediately as you pick each one.  But then you'd have to select them all one at a time, and couldn't use Window or Crossing selection, etc.

 

But I agree that if you know ahead of time you want a Dimension to not show extension lines, it's probably better to set a different Style that has them suppressed, before you draw it, rather than draw it first and then turn the extension lines off after the fact.