FWIW, I found this code that will solve the problem. It is probably only good for smaller datasets but it works nicely in the OnEnter event of the combobox:
var
SL: TStringList;
begin
SL := TStringList.Create;
SL.Sorted := True; // must be set, otherwise next line has no effect
SL.Duplicates := dupIgnore; // don't accept duplicates
SL.AddStrings(DBLookupComboBox1.Items);
DBLookupComboBox1.Items.Assign(SL);
SL.Free;
end;