We actually have some extant organisms that are similar to the links between single-celled organisms and animals. The closest organisms to animals we know are called choanoflagellata. These organisms sometimes form colonies. Then we have sponges — these are considered animals, their cells have some specialization, but some cells look like choanoflagellata. Also they can survive fragmentation quite well, so you can think of them as borderline between colonial and truly multicellular. Sponges probably evolved from colonial choanoflagellata. Then we have other animals that show more cellular specialization.
So the general way multicellular organisms evolve is this:
1. Single celled organism
2. Cells forming an undiferentiated colony for some common benefit
3. Differentiation of functions in the colony
4. Multi-celled organisms, more differentiation of cell functions, tissues, organs etc.
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