You can create a grid class visually [i.e., in a VCX], but you can not do the same for the Grid Columns and Headers. The easiest way is to create a GridMembers.PRG file with the following code:

DEFINE CLASS _Column AS Column

	Name = [Column]
	HeaderClass = [_Header]
	HeaderClassLibrary = [GridMembers.prg]

ENDDEFINE
DEFINE CLASS _Header AS Header

	Name = [Header]

	PROCEDURE Click
		DEBUGOUT "Header click fired..."
	ENDPROC

ENDDEFINE

Now modify your Grid class. Click on the MemberClass property in the Property Sheet. Then click on the little Builder button. Navigate to the GridMembers PRG file and click on it. Click on the _Column class member. Click the Open button. Close and save your class. Now every time you drop a grid on a form and add columns, the _Column and _Header classes will be used from your GridMembers PRG file.