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.
Try this, it might work.
Note : This is not a hyper link.
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