<telerik:RadGridView x:Name="MyGridView" AutoGenerateColumns="True" AutoGeneratingColumn="MyGridView_OnAutoGeneratingColumn"  ItemsSource="{Binding MyData}" />

private void MyGridView_OnAutoGeneratingColumn(object sender, GridViewAutoGeneratingColumnEventArgs e)
{
    //Extra1: Ignore this event for certain columns
    if (e.Column.UniqueName.Contains("extra1"))
    {
        return;
    }
    //Extra2: Disable the generation of a column entirely
    if (e.Column.UniqueName.Equals("extra2"))
    {
        e.Cancel = true;
        return;
    }

    //Place a CheckBox inside the header
    e.Column.Header = new StackPanel()
    {
        Orientation = Orientation.Vertical,
        Children =
        {
            new TextBlock()
            {
                Text = e.Column.UniqueName,
                Margin = new Thickness(2),
                HorizontalAlignment = HorizontalAlignment.Center
            },
            new CheckBox()
            {
                Margin = new Thickness(2),
                HorizontalAlignment = HorizontalAlignment.Center
            }
        }
    };
}

private void MyButton_OnClick(object sender, RoutedEventArgs e)
{
    var cols = new List<GridViewColumn>();
    foreach (var col in MyGridView.Columns)
    {
        var hc = MyGridView.ChildrenOfType<GridViewHeaderCell>().FirstOrDefault(q => q.Column != null && q.Column.UniqueName == col.UniqueName && q.Column.DisplayIndex == col.DisplayIndex);
        if (hc == null) continue;
        var cb = hc.FindChildByType<CheckBox>();
        if (cb != null && cb.IsChecked == true)
            cols.Add(col);
    }
    MessageBox.Show(string.Join(", ", cols.Select(q => q.UniqueName)));
}