I've done similar including a custom header conrol object...

Try doing this in the INIT of your custom column definition in the .prg

DEFINE CLASS MyColumn As Column
  FUNCTION INIT
    WITH THIS
      IF TYPE( ".Header1.Class" ) = "C"
	.RemoveObject( "Header1" )  && default header class of column
      ENDIF
      IF TYPE( ".Text1.Class" ) = "C"
        .RemoveObject( "Text1" )
      ENDIF

      */ Now, add your own custom class  (header and textbox)
      .NewObject( "MyHeader", "MyHeaderClass", ;
			"MyPrgClassLibDefinition.prg",;
                        "MyFinalApp.EXE" )

      .NewObject( "MyGridTextBox", "MyGridTextBoxClass", ;
			"MyPrgClassLibDefinition.prg",;
                        "MyFinalApp.EXE" )


      */ Default control to textbox just added
      .CurrentControl = "MyGridTextBox"
      .MyGridTextBox.Visible = .T.
      .MyGridTextBox.BorderStyle = 0
    ENDWITH
  ENDFUNC
ENDDEFINE