Hi Chuck,
I've done a lot of work on this type of thing--it's not easy, but it can work very reliably. I programmatically add a hidden column for the rightmost column. If the column's control.GotFocus fires, only a keystroke can have caused it.
The Grid must have a FocusElsewhere method that knows how to ActivateCell() with the appropriate DoScrolls, etc. My Grid has a lot of code in that method, because I let the user control navigation--both by row at a time (horizontally) as well as by column (vertically).

DEFINE CLASS ColNavigate AS Column
   ADD OBJECT Header AS Header  
   ADD OBJECT txtNavigate AS txtNavigate 
   Resizable = .F.
   Width = 0	&& Don't allow a mouse to get us to this column, only keystrokes.
ENDDEFINE

**********************************************************************
DEFINE CLASS txtNavigate AS TextBox
   Margin = 0
   ReadOnly = .T.
   *********************************
   PROCEDURE GotFocus()
      * The only way to get here is via a Keypress.  No mouse click can 
      * get a user to the 0 width column.
      LOCAL Direction
      IF INLIST(LASTKEY(), SHIFTTABKEY, LEFTARROWKEY, UPARROWKEY, HOMEKEY)
         Direction = -1
      ELSE
         Direction = +1
      ENDIF
      THIS.Parent.Parent.FocusElsewhere(m.Direction)
      RETURN
   ENDPROC
ENDDEFINE

>>Chuck,
>>>Lastkey() however is last digit typed if you mean field is exited for its >>maxlength is reached.
>
>Cetin,
>No matter what I do, even using "INLIST(LASTKEY(),0,13,24)", the cursor will NOT advance to the next (new) record when maxlength is reached. It stays on the same record.