How to make sorting consistent accross pages in a gridview?

I have a gridview that supports paging and sorting by mulitple columns.  The problem that I am having is that when I click to the next page the sorting falls apart.  Can anyone tell me how to get sorting to persist.  Here is my current relevant code:
 
 
Protected Sub gvPolicyData_Sorting(ByVal sender As Object, ByVal e As System.Web.UI.WebControls.GridViewSortEventArgs) Handles gvPolicyData.Sorting Dim sortingDirection As String = String.Empty If dir = SortDirection.Ascending Then dir = SortDirection.Descending sortingDirection = "Desc" Else dir = SortDirection.Ascending sortingDirection = "Asc" End If Session("policySortExp") = e.SortExpression Dim sortedView As New DataView(gvPolicyData_Bind()) sortedView.Sort = Convert.ToString(e.SortExpression) & " " & sortingDirection gvPolic ...