One solution (and there may be a better one) is to simply add a new record to the datasource that the datagrid is bound to, and set the EditItemIndex to the very last item.
When I did this I was binding to an ArrayList of custom business-entity objects, so it was a simple thing to just create a new instance of one of my objects, add it to the collection I was binding to, and re-bind the DataGrid setting the EditItemIdex to the count of the collection minus 1.
Doing this may or may not be a little trickier if you are just using DataTables - (can't remember - haven't used those in a while).
Greetings,
Dragonwell