As long as I know there's no built-in functionality to do so. The same problem happens when you select records on page one and change to page two, you loose whatever you selected before.
To achieve that functionality you have 2 options (I've used both on previous projects)
1) On each check make an Ajax call to one of your controllers and store whatever you selected on a Session Variable (This can be inefficient if you have a lot of records)
2) Create a javascript variable and store your selections there, and send back to the controller using a json variable or a comma separated values string
As I said, I've used both approachs so it depends on if this works for you or not
Hope it helps