DataGrid uses a ClientBundle/CssResource for its images/css so you have to extend it and provide your custom css by overwriting dataGridStyle() and provide your own css file using @Source annotation.
Something like:
interface MyDataGridResources extends DataGrid.Resources {
@Override
@Source({DataGrid.Style.DEFAUL_CSS, "yourCustomStyle.css"})
DataGrid.Style dataGridStyle();
}
By merging the DataGrid default css with your custom css you don't have to provide all css classes in your own file and can selectively overwrite the defaults.
-- J.