Hello,
Why are you using a LSMW to check in your documents ?
You could achieve this with FM BAPI_DOCUMENT_CHECKIN2, it has the option to check in more than one file at once.
You could develop a simple program to mass check in multiple documents using this BAPI.
You could read about BAPI_DOCUMENT_CHECKIN2 which was introduced in SAP version 46A in transaction BAPI.
Using LSMW if you are using the recording approach for document checkin multiple document loading would be tricky.
Hope this helps 
.
Best Regards,
Ameya B.