I've been reading the cookbook for a while now and still don't get how I'm supposed to do this:
My original problem was this:
A related Model isn't being validated
From RabidFire's commment:
  If you want to count the number of
  Category models that a new Post is
  associated with (on save), then you
  need to do this in the beforeSave
  function as I've mentioned. As you've
  currently set up your models, you
  don't need to use the multiple rule
  anywhere. If you really, really want
  to validate against a list of Category
  IDs for some reason, then create a
  join model, and validate category_id
  with the multiple rule there.
Now, I have these models and are now validating. The problem now is that data isn't being saved in the Join Table:
class Post extends AppModel {
    var $name = 'Post';
    var $hasMany = array(
        'CategoryPost' => array(
            'className' => 'CategoryPost'
        )
    );
    var $belongsTo = array(
        'Page' => array(
            'className' => 'Page'
        )
    );
class Category extends AppModel {
    var $name = 'Category';
    var $hasMany = array(
        'CategoryPost' => array(
            'className' => 'CategoryPost'
        )
    );
class CategoryPost extends AppModel {
    var $name = 'CategoryPost';
    var $validate = array(
        'category_id' => array(
            'rule'     => array('multiple', array('in' => array(1, 2, 3, 4))),
            'required' => FALSE,
            'message'  => 'Please select one, two or three options'
        )
    );
    var $belongsTo = array(
        'Post' => array(
            'className' => 'Post'
        ),
        'Category' => array(
            'className' => 'Category'
        )
    );
This is the new Form:
<div id="content-wrap">
    <div id="main">
            <h2>Add Post</h2>
            <?php echo $this->Session->flash();?>
            <div>
            <?php
            echo $this->Form->create('Post');
            echo $this->Form->input('Post.title');
            echo $this->Form->input('CategoryPost.category_id', array('multiple' => 'checkbox'));
            echo $this->Form->input('Post.body', array('rows' => '3'));
            echo $this->Form->input('Page.meta_keywords');
            echo $this->Form->input('Page.meta_description');
            echo $this->Form->end('Save Post');
            ?>
            </div>
    <!-- main ends -->
    </div>
The data I am producing from the form is as follows:
Array
(
    [Post] => Array
        (
            [title] => 1234
            [body] => 
1234
        )
    [CategoryPost] => Array
        (
            [category_id] => Array
                (
                    [0] => 1
                    [1] => 2
                )
        )
    [Page] => Array
        (
            [meta_keywords] => 1234
            [meta_description] => 1234
            [title] => 1234
            [layout] => index
        )
)
UPDATE: controller action
//Controller action
function admin_add() {
    // pr(Debugger::trace());
    $this->set('categories', $this->Post->CategoryPost->Category->find('list'));
    if ( ! empty($this->data)) {
        $this->data['Page']['title'] = $this->data['Post']['title'];
        $this->data['Page']['layout'] = 'index';
        debug($this->data);
        if ($this->Post->saveAll($this->data)) {
            $this->Session->setFlash('Your post has been saved', 'flash_good');
            $this->redirect($this->here);
        }
    }
}
UPDATE #2:
Should I just do this manually?
The problem is that the join tables doesn't have things saved in it. Is there something I'm missing?
UPDATE #3
RabidFire gave me a solution. I already did this before and am quite surprised as so why it didn't work. Thus, me asking here. The reason I think there is something wrong. I don't know where:
Post beforeSave:
function beforeSave()
{
    if (empty($this->id))
    {
        $this->data[$this->name]['uri'] = $this->getUniqueUrl($this->data[$this->name]['title']);
    }
    if (isset($this->data['CategoryPost']['category_id']) && is_array($this->data['CategoryPost']['category_id'])) {
        echo 'test';
        $categoryPosts = array();
        foreach ($this->data['CategoryPost']['category_id'] as $categoryId) {
            $categoryPost = array(
                'category_id' => $categoryId
            );
            array_push($categoryPosts, $categoryPost);
        }
        $this->data['CategoryPost'] = $categoryPosts;
    }
    debug($this->data); // Gives RabidFire's correct array for saving.
    return true;
}
My Post action:
function admin_add() {
    // pr(Debugger::trace());
    $this->set('categories', $this->Post->CategoryPost->Category->find('list'));
    if ( ! empty($this->data)) {
        $this->data['Page']['title'] = $this->data['Post']['title'];
        $this->data['Page']['layout'] = 'index';
        debug($this->data); // First debug is giving the correct array as above.
        if ($this->Post->saveAll($this->data)) {
            debug($this->data); // STILL gives the above array. which shouldn't be because of the beforeSave in the Post Model 
            // $this->Session->setFlash('Your post has been saved', 'flash_good');
            // $this->redirect($this->here);
        }
    }
}