I don't remember anything really special. I dropped the ComboEditors on my forms, populated as usual, made them invisible and attached them to the Grid's Columns.
One thing I did was to set the Columns properties by code, since I was loosing this configuration when only used the Grid's Wizard. So, in the Grid's InitializeRow event, I added something like this:
Private Sub YourGrid_InitializeRow(ByVal sender As System.Object, ByVal e As Infragistics.Win.UltraWinGrid.InitializeRowEventArgs) Handles YourGrid.InitializeRow
'-- set columns editor control
e.Row.Cells("YourField1").EditorComponent = Me.YourComboEditor1
e.Row.Cells("YourField2").EditorComponent = Me.YourComboEditor2
End Sub
Hope it helps.