How can I get Thunderbird to check subfolders on IMAP?

It can be done, similar to Thunderbird 2: Tools - Options - Advanced - Config Editor, then set mail.check_all_imap_folders_for_new to true.

In Thunderbird 8 the property is called mail.server.default.check_all_folders_for_new

See also: Checking for new messages in other folders - Thunderbird - MozillaZine Knowledge Base

I do exactly the same.

If you right click on a folder, then select properties, there is a check box that says "Check this folder for new messages". That's the one you want!

Unfortunately I don't think there is any way to do this for all folders at once, you have to do them one by one.

Thunderbird 3 will automatically update/refresh individual IMAP folders when you switch to them (e.g. click on them). None of my "Check this folder for new messages" options are checked.

You can update all folders at once by clicking File, Offline, Download/Sync Now... or File, Offline, Work Offline. The former option asks if you want to go offline following the sync. When you come back from Offline, the sync happens again.