Instead of one, you can select more than one record at a time. To select a range of records, click the gray button of one of the records, press and hold Shift, then click the gray button of the record at the other extreme:

To select some records at random, select one record, press and hold Ctrl, then click the gray button of each desired record:

To select all records of a table, you can click the gray button on the left of the first column:

Alternatively, you can first click a record header and press Ctrl + A.