I found @Killercam's solution to work but was a bit dodgy if the user double clicked too fast.    Not sure if other's found that the case either.  I found a another solution here.
It uses the datagrid's CellValueChanged and CellMouseUp.  Changhong explains that
"The reason for that is OnCellvalueChanged event won’t fire until the DataGridView thinks you have completed editing. This makes senses for a TextBox Column, as OnCellvalueChanged wouldn’t [bother] to fire for each key strike, but it doesn’t [make sense] for a CheckBox."
Here it is in action from his example:
private void myDataGrid_OnCellValueChanged(object sender, DataGridViewCellEventArgs e)
{
    if (e.ColumnIndex == myCheckBoxColumn.Index && e.RowIndex != -1)
    {
        // Handle checkbox state change here
    }
}
And the code to tell the checkbox it is done editing when it is clicked, instead of waiting till the user leaves the field:
private void myDataGrid_OnCellMouseUp(object sender,DataGridViewCellMouseEventArgs e)
{
    // End of edition on each click on column of checkbox
    if (e.ColumnIndex == myCheckBoxColumn.Index && e.RowIndex != -1)
    {
        myDataGrid.EndEdit();
    }
}
Edit: A DoubleClick event is treated separate from a MouseUp event. If a DoubleClick event is detected, the application will ignore the first MouseUp event entirely. This logic needs to be added to the CellDoubleClick event in addition to the MouseUp event:
private void myDataGrid_OnCellDoubleClick(object sender,DataGridViewCellEventArgs e)
{
    // End of edition on each click on column of checkbox
    if (e.ColumnIndex == myCheckBoxColumn.Index && e.RowIndex != -1)
    {
        myDataGrid.EndEdit();
    }
}