Standard reservoir simulation schemes employ first order upwind schemes for approximation of the convective fluxes when multiple phases or components are present. These schemes introduce both coordinate-line numerical diffusion and cross-wind diffusion into the solution that is grid and geometry dependent. New locally conservative higher-order multidimensional upwind schemes that significantly reduce both directional and cross-wind diffusion are presented for convective flow approximation. The new schemes are composed of two steps; (a) higher order approximation that corrects the directional diffusion of the approximation and (b) truly multidimensional upwind approximation, which involves flux approximation using upwind information obtained by upstream tracing along wave-vector paths where wave information travels in multiple dimensions. This approximation reduces cross-wind diffusion. Conditions on the tracing direction and Courant-Friedrichs-Levy number lead to a local maximum principle that ensures stable solutions free of spurious oscillations. The schemes are coupled with full-tensor Darcy flux approximations. Benefits of the resulting schemes are demonstrated for classical convective test cases in reservoir simulation, including cases with full tensor permeability fields, where the methods prove to be particularly effective. The test cases involve structured and unstructured grids with variations in orientation and permeability that lead to flow fields that are poorly resolved by standard simulation methods. The higher dimensional formulations are shown to effectively reduce numerical cross-wind diffusion effects, leading to improved resolution of concentration and saturation fronts.