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I suggest that you recreate the list as a report and then, in the Create Layout step, edit the Table view. Click Edit Table View Properties and check the Enable column sorting in Dashboards option.
If you preview the report, you should notice that the column headers are clickable and will sort the column values when clicked. Clicking another header will remove the previous sorting done.
Here's the trick: Press CTRL while clicking the next header and it will re-sort the columns, but this time, it will observe the previous sort preference! Pressing CTRL is like using a "then by" statement: "Sort by column X, then by column Y, then by column Z, in that heirarchy."
You can also put the report in a dashboard for easy access. :D