Just when I was about to post the question, the StackOverflow tags auto-suggest showed that there is Silverlight Toolkit. Clearly this is what I should use.
Since I put all that effort into the question I will leave the question and the answer as a testemant to StackOverflow awesomeness in auto-answering my question.
EDIT You need Silverlight 3 Toolkit binaries to use DataGrid. You need to add these four references to the project:
- System.ComponentModel.DataAnnotations.dll
- System.Windows.Controls.Data.dll
- System.Windows.Controls.Data.Input.dll
- System.Windows.Data.dll