This example demonstrates how use GridViewComboBoxColumn and allow the user to edit it adding new items for its ItemsSource. 
See also:
WPF: http://docs.telerik.com/devtools/wpf/controls/radgridview/columns/columntypes/column-types-combobox-column
SL: http://docs.telerik.com/devtools/silverlight/controls/radgridview/columns/columntypes/column-types-combobox-column