If this is a grid on a form, then there is a property setting
grid.Model.Options.WrapCellBehavior = GridWrapCellBehavior.NextControlInForm
that should handle this.
If your grid in contained in some panel, groupbox, tabpage, or other container, then you will likely need to handle the WrapCellNextControlInForm event and actually move the focus to where you want it in your container.
Here is a sample that might help. The sample has 2 grids, the one on the left is parented to the form, and the one of the right is on a panel. Out of the box, just setting the NextControlInForm value, makes the grid on the left behave as expected, allowing you to tab from button1 to the grid to button2. But the grid on the panel does not behave as expected. There you tab from button3 to the grid to button 1, passing over button 4 which is the next button on the panel.