Instead of deleting your photos immediately, mark them as Reject (press the X key). After you have imported all of the photos that you are going to import before formatting the SD card, go back to Lightroom and delete the rejected photos. Control-Backspace is the shortcut to delet rejected photos.
You might consider using additional SD cards and not try to have more than one import before formatting.
To select multiple photos before import: Control click on photos or click hold shift and click on consecutive photos. After the photos are selected, click the check box and they will all be selected.