How do you sell items for returning dwellers?

When you have a dweller waiting outside and you select him, you will see a row of items at the bottom and the "Collect" button to the right. Selecting items at this point will mark them for sale and it will be sold when you click on the "Collect" button.

Nelson answered this question properly, but I just wanted to provide more detail and a picture.

When your returning explorer is waiting for you to bring them into the vault, you can select which items you want to sell by clicking on the items. Once you click on an item, they will show their sale value in caps, as in the picture below. You can revert the selection by clicking on them again. Once you hit the Collect button, all selected items will be sold and your explorer will be brought into the vault.