As of WorkWithPlus for Web 14 you will be able to sort the columns of the grid by doing Drag and Drop at runtime

To enable the option to sort columns, you need to follow two steps:

1. Set enable the 'Allow Reordering' property of the definition of the Standard Action "Edit Columns". You must do this from WorkWithPlus for Web Settings:

2. In the User Control WWPUtilities within your MasterPage, set the properties 'AllowColumnReordering'  and 'AllowColumnDragging' as true:

Also, you will be able to drag and drop from the column selector, below is an example: