How to design an inductor which consists of four separate windings in the same core?
If the intent is simply to provide smoothing on the incoming pulses, then you do NOT want coupling (transformer action) between each winding. 

There is nothing to be gained from coupling the windings on a common core, and quite a lot to be lost (e.g. edges from one input creating spikes doubling the voltage on another; possibly destroying its driver).

Simply use 4 separate inductors, and common the output terminals. There are screened inductors available to further reduce mutual coupling if necessary.