You could use the Substitute function to replace your day name abbreviations with day-of-the-week numbers, use a custom function like this to sort those, then Substitute the day names back in place of the numbers.
You may ultimately find that a set of related records is a better option than a single field with a check box set, but here's an auto-enter calculation that will automatically sort the selected values into the same order as they are listed in the value list:
FilterValues ( ValueListItems ( Get ( FileName ) ; "YourValueListNameInQuotesHere" ) ; self )
And be sure to clear the "do not replace existing values..." check box.
To see examples of a set of related records in a portal looking and functioning like a check box field (but with a scroll bar), see "Adventures in FileMaking #2 - Enhanced Value Selection"