Is it possible to check collisions between several objects without adding them to a World.
No, there isn't. If you want to limit collision detection to several objects, you have to set their collision modes accordingly.
I am using the server machine to manage all the events and collisions, so I use a World with all the objects built in there. But I think that I am wasting memory because that world never wil be rendered, wont have lights nor anything like that.
The overhead is minimal. You may reduce the maxPolysVisible on the server to same some more memory but even that shouldn't really matter.