A rf signal is basically just a wire through the air, you can send anything (in principle) that you can send along a wire through the air.However, unlike a wire that you can route only to the devices you want, radio signals will be picked up by whatever is listening on the same frequency and is capable of demodulating your signal, in order to differentiate devices you have to figure out how to let the devices know you are talking to them and not anyone else
There are several options, from the simplest to more sophisticated
You can tune the receivers to slightly different frequencies or sidebands, and have your transmitter change the carrier (tune) depending on the device you want to switch. THis complicates the transmitter, but leaves the receiver circuitry rather simple which can be a useful if you are limited in space/cost/complexity. This would be the equivalent of routing a different wire to every device for your on/off switch. This is also how analog tv stations work (you tune your tv set to different carriers)
YOu can modulate the signal with different signals depending on the device you want to talk to, and have the device receiver demodulatethe carrier and respond to only the signal you configure, this increases the complexity of the receiver and transmitter equally. In case of Frequency Modulation you would be limited by the number of sidebands your carrier can transmit and the bandwidth of your receivers/transmitters. Wide bandwidth (spread spectrum) transmitters carriers can modulate more sidebands, at the cost of increased noise (you pick up more stray signals than if you had a perfectly sharp frequency spectrum) and requires more complex electronics to demodulate properly.
You can encode binary data into your RF signal and address the receivers the same way you would address any other digital device on a bus. There are many ways of doing this (hundreds?) ranging from the simplest ("morse code" like pulses) to the most complex (e.g. multi carrier modulation like what is used for 4g cellular data). Complex encoding schemes have the benefit of being robust, scalable to many devices, and error-proof at the cost of being difficult to implement. Binary encoding would require a receiver and transmitter capable of modulating and demodulating the signal and decoding the signal, as well as all the relevant digital circuitry to process the data and decide what to do. The benefit of digital encoding is that you can do much more than just send on/off pulses, which gives you room to add new features without having to worry about the physical rf link in the future.
All that being said, if this all sounds overwhelming, there are many options for commercially available devices that take care of the details for you to add rf communication to your project. The most accessible of which will probably be an arduino or similar microcontroller platform, and an rf shield or wifi shield for each device.