You should be able to do this, certainly. The DataGrid in Silverlight isn't as feature-rich as its WinForms counterpart, though, so what you'd have to do is add a new object of the appropriate sort to the ObservableCollection that your grid is bound to, change your selected item to that item, and add event handlers to handle your changes and trigger an update and save of your entity.
I'm sorry we don't have any samples which show a really dynamic connection between useful UI controls like DataGrid. This is, of course, well outside of Devforce support, but I'll try to find the time to provide something.