If the grid is on a form, then I think setting this property will allow the tab key to move out of the grid to the next control.
this.gridControl1.Model.Options.WrapCellBehavior = GridWrapCellBehavior.NextControlInForm;
If the grid is on a tabpage or groupbox or panel or some container other than a form, then then you also have to handle the WrapCellNextControlInForm event.
Here is a sample that shows how.