We have a great demo on setting up the "Column Selection" which you can find in our SDK Sample Browser. You can download it from http://demos.telerik.com/xaml-sdkbrowser/
. Once you have it installed you need to navigate to the GridView control and check the "Column Selection" example.
I have attached a sample project as well that implements the needed behavior. Please, review it and update me if it was useful.
Do you want to have your say when we set our development plans? Do you want to know when a feature you care about is added or when a bug fixed? Explore the Telerik Feedback Portal
and vote to affect the priority of the items