This week's book giveaway is in the OO, Patterns, UML and Refactoring forum. We're giving away four copies of Refactoring for Software Design Smells: Managing Technical Debt and have Girish Suryanarayana, Ganesh Samarthyam & Tushar Sharma on-line! See this thread for details.
I'll give you the Flex 3 solution as I haven't worked on Flex 4. Overriding item renderer is indeed the way to go.
Every control, in your case DataGridColumn, has a item renderer property. You can add your own custom components to this renderer and that will be rendered when you compile the mxml although it might not be displayed in the Flex builder.