I strongly suggest that you use a separate form (or dialog box) to create (insert) or edit records.
There is no good reference as to which components can be used with a DBCtrlGrid you just need to use trial an error. (huh) Basically, any component with csReplicatable in its ControlStyle property can be used. According to the Delphi 5 help, csReplicatable means
The control can be copied using the PaintTo method to draw its image to an arbitrary canvas.
Based on a search of the source code, these controls (and those based on them) are Replicatable
To use a DBCtrlGrid, set its DataSource. This property is automatically locked to the DataSource properties of all the associated DB components - you will not be allowed to edit any individual DataSource properties, just the ONE associated with the DBCtrlGrid.
I am still trying to determine whether or not a TDBLookupComboBox component can be used - so far, I have not found a way to set the ListSource property.