Thesis -style Navigation

This is how I do it in a custom theme:

<h3>Select pages to include in menu:</h3>

<p>
<?php
$page_ids = get_all_page_ids();
$current_selected = get_option("pages_to_include");

foreach( $page_ids as $page_id ) {
    if( get_post_status( $page_id ) == 'publish' ) {
        $checked = ( !empty( $current_selected ) && in_array( $page_id, $current_selected ) ) ? ' checked="checked"' : '';
        echo '<input type="checkbox" name="page_to_include[]" id="page-' . $page_id . '" value="' . $page_id . '"' . $checked . ' /> <label for="page-' . $page_id . '">' . get_the_title( $page_id ) . '</label><br />';
    }
}
?>
</p>

You store the pages list in an option (here is "pages_to_include").