If I understand you correctly, it seems that there might already be a method of CheckedListBox for this: http://msdn.microsoft.com/en-us/library/system.windows.forms.checkedlistbox.checkeditems.aspx
You can then iterate through that Collection to do what ever you want like:
foreach(object itemChecked in checkedListBox1.CheckedItems) {
//Deal with each itemChecked object
}
or just cast straight to a List
List<SomeTypeUsedForTheItems> checkedItems = checkedListBox1.CheckedItems.Cast<SomeTypeUsedForTheItems>().ToList()