What you want to do is display the checkbox column on your grid and not have it related at all to your Lead objects. You use the marked columns (and possible the original List) to build a new set of List which will be your import list.
Then handle whatever you wish to do with the newly created List.
Edit: One thing to be careful of when working with lists is the fact every class object is actually only a pointer to the class so if you work with the original list and do something like:
List<Lead> Importable = new List<Lead>();
for(int i=0, i++, i<viewGrid.Count)
if(viewGrid[i].CheckedColumn.Checked)
Importable.Add(OriginalList[i]);
That objects will exist in both lists and if you edit data of a Lead on either list both will be changed.