First, you can check all the songs in the window by holding down the Command (Apple) key while checking one. Keep in mind all songs visible will be checked/unchecked. Wether they are highlighted (by clicking on them) or not makes no difference, so be warned. But this solves checking each one manually.
As far as a Playlist with only checked songs, make a Smart Playlist, and in the rules make sure you have "match only checked songs". Make a simple rule that includes all your music - for example, make a regular playlist with all your songs, and then use that playlist as your criteria for the Smart Playlist (the rule would be "Playlist is 'All Songs Playlist'", or whatever you named the "all songs" playlist).
Also, you can make a new playlist from selected songs (highlighted by clicking with the mouse) by going to the File menu and choosing "Make Playlist From Selection".