Altium multi-channel component naming
I believe while in the Schematic editor you can go to Tools --> Board Level Annotate:



In the new window hit the button that says "Annotate Options":



and for the "Naming Scheme" you would use the keyword for the component prefix ("U", "R", "C", etc), followed by the sheet number keyword, followed by the keyword for the component index (1, 2, 3, etc). I believe in your case this would be $ComponentPrefix$SheetNumber$ComponentIndex. 



More information about these keywords can be found in the Altium documentation, a little over half way down the page.

Then click the "Annotate" --> "Annotate All" buttons:




And this is what the result will look like:



The project I used to create this example doesn't have multiple sheets, but you can trust that on sheet 2, the component indexes would start with 2 instead of 1 (in the above image).

Using this method, U24 (for example) on sheet 1 would have the designator U124, R15 on sheet 2 would have the designator R215, and so on.