The only way I know of is to use cut/paste.
1) Add the object you want to your form.
2) Select the object, then press CTRL+X.
3) Select your grid, right click, and choose EDIT. Click on the column you want to add the control to, then press CTRL+V.
The control should then appear in your column. The TextBox will still be there, however, so you should either delete the TextBox or set the column's CurrentControl property to the new control so the grid will use it.
Ian