How to enable selective app permissions on CyanogenMod?
This was available in CM7, but got removed in CM9 and above, for reasons I do not know myself.

It is possible that the maintainers of CM couldn't find a way to make this compatible with Android 4+ and so left it out.

There are apps on the market that can do this, such as Permissions Denied however this is now a paid app, and I am unable to report whether this works.

EDIT: Ad eldarerathis pointed out in the comments, there is an open feature request to add this to CM10 and later. I suggest you follow this request for updates.