I created a style that had a text box that was bounded to the value.  Then created a date time converter which I use when binding.  I wired up the InitializeRecord event and filtered out the cells of the record that where of type DateTime.  I then assign the CellValuePresenter of the Cell.Field.Settings to the style.

InitializeRecord Method:

private void DataGrid1_InitializeRecord(object sender, Infragistics.Windows.DataPresenter.Events.InitializeRecordEventArgs e)
        {
            DataRecord record = e.Record as DataRecord;

            if (record != null)
            {
                var dateRecords = from cell in record.Cells
                                  where cell.Field.DataType == typeof(DateTime)
                                  select cell;

                foreach (var cell in dateRecords)
                {
                    cell.Field.Settings.CellValuePresenterStyle = (Style)DataPresenterInstance.Resources["DateTimeFormat"];
                }
            }
        }

Style:

<converters:DateTimeConverter x:Key="DateTimeConverter" />

<Style TargetType="{x:Type igData:CellValuePresenter}" x:Key="DateTimeFormat">
                    <Setter Property="Template">
                        <Setter.Value>
                            <ControlTemplate TargetType="{x:Type igData:CellValuePresenter}">
                                <Grid Width="{TemplateBinding Width}" Height="{TemplateBinding Height}">
                                    <TextBlock Text="{Binding RelativeSource={RelativeSource TemplatedParent}, Path=Content, Converter={StaticResource DateTimeConverter}}"/>
                                </Grid>
                            </ControlTemplate>
                        </Setter.Value>
                    </Setter>
                </Style>

DateTimeConverter:

public class DateTimeConverter: IValueConverter
    {
        #region IValueConverter Members

        public object Convert(object value, Type targetType, object parameter, System.Globalization.CultureInfo culture)
        {
            if (value == null)
                return "--/--/----";

            DateTime returnVal;

            if (DateTime.TryParse(value.ToString(), out returnVal))
            {
                if (returnVal != DateTime.MinValue)
                    return returnVal;
                else
                    return "--/--/----";
            }
            else
                return "--/--/----";
        }

        public object ConvertBack(object value, Type targetType, object parameter, System.Globalization.CultureInfo culture)
        {
            if (value == null)
                return DateTime.MinValue;

            DateTime val;
            if (value.ToString() == "--/--/----")
                return DateTime.MinValue;

            if (DateTime.TryParse(value.ToString(), out val))
                return val;
            else
                return DateTime.MinValue;
        }

        #endregion
    }