public class Employee
{
    public int ID;
    public string Name;
    public Country Country;
}

public class Country
{
   public int CountryID;
   public string CountryName
}

<toolkit:DataField Name="cbCountry" Label="Country:">
           <ComboBox DisplayMemberPath="CountryName" SelectedItem="{Binding Path=Country, Mode=TwoWay}" />
</toolkit:DataField>

private void myDataForm_ContentLoaded(object sender, DataFormContentLoadEventArgs e)
        {
            var proxy = new MyServiceClient();
            proxy.GetCountryCompleted += new System.EventHandler<GetCountryCompletedEventArgs>(proxy_GetCountryCompleted);
            proxy.GetCountryAsync();
        }

        void proxy_GetCountryCompleted(object sender, GetPositionCompletedEventArgs e)
        {
            ComboBox cbCountry = (ComboBox)((DataField)myDataForm.FindNameInContent("cbCountry")).Content;
            cbCountry.ItemsSource = e.Result;          
        }

void proxy_GetCountryCompleted(object sender, GetPositionCompletedEventArgs e)
        {
            ComboBox cbCountry = (ComboBox)((DataField)myDataForm.FindNameInContent("cbCountry")).Content;
            cbCountry.ItemsSource = e.Result;       
            cbCountry.SelectedValue = ((Employee)myDataForm.CurrentItem).Country.CountryID;
        }

<toolkit:DataField Name="cbCountry" Label="Country:">
           <ComboBox DisplayMemberPath="CountryName" SelectedValuePath="CountryID" SelectedItem="{Binding Path=Country, Mode=TwoWay}" />
</toolkit:DataField>

public partial class MainWindow : Window
    {
        public List<Country> CountrySource { get; set; }

        public MainWindow()
        {
            InitializeComponent();

            var proxy = new NHEmployeeReference.NHEmployeeServiceClient();
            CountrySource = proxy.GetCountry().ToList();
            myDataGrid.ItemsSource = proxy.GetAllEmployees().ToList();
        }      

<DataGridTemplateColumn Header="Country">
      <DataGridTemplateColumn.CellEditingTemplate>
           <DataTemplate>
                <ComboBox ItemsSource="{Binding Path=CountrySource, 
                                                    RelativeSource={RelativeSource FindAncestor, 
                                                    AncestorType={x:Type Window}}}" 
                                DisplayMemberPath="CountryName" 
                                SelectedValuePath="CountryID"
                                SelectedValue="{Binding Country.CountryID}"
                                SelectedItem="{Binding Path=Country, Mode=TwoWay}"/>
          </DataTemplate>
      </DataGridTemplateColumn.CellEditingTemplate>
      <DataGridTemplateColumn.CellTemplate>
          <DataTemplate>
                <TextBlock Text="{Binding Path=Country.CountryName}" />
          </DataTemplate>
       </DataGridTemplateColumn.CellTemplate>
</DataGridTemplateColumn>