Two ways I can do this, depending on what you can change and what should remain as it is:
1) If you have control over the / proc query that generates a dataset and can do this without harming other grids / pages, modify the query so that it only selects the columns to use. You can still use unselected columns in JOIN and WHERE, and you get an extra bonus without adding each column to ORDER BY.
2) If you only have control over the grid and code code that were used to create it, you can set AutoGenerateColumns = false as the DataGrid parameter and then attach to your DataGrid, BoundFields, which you need to show. It also allows you to format, create column names, etc.
If you can do both of these things, your grid should also load faster.
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