One possible solution is that as you move off the cell, you get the typed value, and modify it before it is passed onto the DataGrid for its standard processing.
One problem is that there are several ways to leave the cell, and you would want to handle each (depending upon your needs). You can leave the cell by clicking on another cell, by tabbing off the cell, by arrowing off the cell, and by pressing Enter on an edited cell.
Another problem is that you want to catch these actions early enough to make a change in the typed value that can be passed onto the DataGrid itself. To catch the typed entries before they are handed off to the DataGrid, you have to gain access to the DataGridTextBoxColumn’s embedded TextBox. This requires that your DataGrid either has explicitly had these columns styles added to it, or that you minimally add a DataGridTableStyle to your DataGrid so the Framework generates ColumnsStyle objects for you.
To solve these problems, you can derive the dataGrid and override OnMouseDown, OnProcessDialogKey, and OnProcessPreviewKey. The last override will handle both the arrowing off the cell and pressing Enter on an edited cell.
You can download a sample (C#, VB.NET) that implements this technique.