Dear daveinhull,
to "have DBGrid where I've included a customer RxDBLookupCombo as the cell editor" is just my concern, too. (I need autoselect, which RxDBLookupCombo offers and the default cell editor does not).
The first question, if that is possible at all, therefore is already answered ,-)
For me as a beginner in the OO world, the second question remains open: how to do that? (Derive your own component from TDBGrid?)
You said it so nicely in your first post, it's best to ask the experts:
May I therefore ask you for a short guidance or a working minimal example?