you may as well like to see the following discussion on how setting cell styles impact performance ans scalability
http://msdn.microsoft.com/en-us/library/ha5xt0d9.aspx
Also you have to set styles in the appropriate page events.Once the data grid has been parsed as html table , it is late to apply any formatting .You may sometimes encounter styles not getting correctly set due to style inheritances and overrides from parent controls.