要用到第三方控件DBGridEh，设置AutoSortMakerting

procedure DgbMainSortMarkingChanged(Sender: TObject);
var
  i, j: integer;
  IndexFieldName, AFieldName, s: string;
  Desc: Boolean;
begin
  s := '';  //
  for i := 0 to DBGridEh.SortMarkedColumns.Count - 1 do
  begin
    AFieldName := DBGridEh.SortMarkedColumns[i].FieldName;
    case (DBGridEh.SortMarkedColumns[i].Field.FieldKind) of
      fkLookup, fkCalculated, fkAggregate: exit;
    end;

    Desc := DBGridEh.SortMarkedColumns[i].Title.SortMarker = smUpEh;
    if Desc then
      IndexFieldName := 'i' + AFieldName + 'D'
    else
      IndexFieldName := 'i' + AFieldName;

    j := ADataSet.IndexDefs.IndexOf(IndexFieldName);
    if j = -1 then
    begin
      with ADataSet.IndexDefs.AddIndexDef do
      begin
        Name := IndexFieldName;
        Fields := AFieldName;
        //DescFields := AFieldName;
        if Desc then
          Options := [ixDescending];
      end;
    end;
    s := s + IndexFieldName;
  end;
  ADataSet.IndexName := s;
end

引入第二种方法

ClientDataSet排序
1、简单排序
 ClientDataSet1.IndexFieldNames:='排序字段'
2、复杂排序（建立索引）
下面这个过程仅供参考（因为用到三方控件DBGridEh）：
procedure TDM1.DsSort(SortColumn: TColumnEh);
var
 OldIndex:string;
begin
 if (SortColumn.Grid.DataSource=nil) or (SortColumn.Grid.DataSource.DataSet=nil) or (not SortColumn.Grid.DataSource.DataSet.Active) then Exit;
 OldIndex:=TClientDataSet(SortColumn.Field.DataSet).IndexName;
 if OldIndex<>'' then
 begin
   TClientDataSet(SortColumn.Field.DataSet).IndexName:='';
   TClientDataSet(SortColumn.Field.DataSet).DeleteIndex(OldIndex);
 end;
 case SortColumn.Title.SortMarker of
   smNoneEh,
   smUpEh  :TClientDataSet(SortColumn.Field.DataSet).AddIndex('px',SortColumn.Field.FieldName,[ixDescending]);
   smDownEh:TClientDataSet(SortColumn.Field.DataSet).AddIndex('px',SortColumn.Field.FieldName,[ixPrimary]);
 end;
 TClientDataSet(SortColumn.Field.DataSet).IndexName:='px';
end;  

 2003-11-5 12:19:59    把上面的过程稍做修改，可用于标准DBGrid

var
  ASC:Boolean=True;//是否升序排列
procedure TDM1.DsSort(SortColumn: TColumn);
var
  OldIndex:string;
begin
if (SortColumn.Grid.DataSource=nil) or (SortColumn.Grid.DataSource.DataSet=nil) or (not SortColumn.Grid.DataSource.DataSet.Active) then Exit;
OldIndex:=TClientDataSet(SortColumn.Field.DataSet).IndexName;
if OldIndex<>'' then
begin
  TClientDataSet(SortColumn.Field.DataSet).IndexName:='';
  TClientDataSet(SortColumn.Field.DataSet).DeleteIndex(OldIndex);
end;
case ASC of
  Ture :TClientDataSet(SortColumn.Field.DataSet).AddIndex('px',SortColumn.Field.FieldName,[ixDescending]);//已经是升序就按降序排列
  else//否则按升序排列
  TClientDataSet(SortColumn.Field.DataSet).AddIndex('px',SortColumn.Field.FieldName,[ixPrimary]);
end;{end case}
TClientDataSet(SortColumn.Field.DataSet).IndexName:='px';
ASC:=not ASC;