Hi mds,
I recommend you go through this list of options in that order
A. The majority of GRID Controls have this functionality by-design. You can add Un-Bounded selection-checkbox column. Then you can ask for that selected rows as:
List<int> mySelection = myDataGrid.SelectedRows;
or something like that.
B. Do what you do. Add the code for the entities you need that functionality.
C. If a lot of entities (or all of them) requires this functionality, go to template files.
D. If a lot of projects would require this functionality go to implement your own LLBLGen plugin. You can download the SDK documentation to start.