Pagination Ordering

Okay, google isn't helping me find the answer to this one, hopefully
someone else can point me to what is probably an obvious answer...

How can one setup multiple levels or ordering for pagination?

For example: My user listing has a default pagination order of
'User.last_name', but when I select another column (say 'state') the
results are sorted by state only (results from the same state are
listed in the order they are in the database).

Can I setup pagination to sort results by state,last_name (i.e. use a
secondary ordering), or do I need to setup a custom query for this?

Thanks
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