For Anyconnect (Secureclient) VPN you can configure this on dashboard at the client traffic section (send all traffic, send only for these destinations, send everything except these destinations).
For the classic L2TP/IPsec, you'll need to use the capabilities of the client itself.
In case of windows native you can rely on scripts like @PhilipDAth provides or just build the VPN yourself using Windows Powershell (add-vpnconnection -name xx - splittunneling etc etc).
If you are on MAC then you will have a more difficult time.
So if you can pay for the licenses, go with the Anyconnect VPN option instead.