Answer is here, should have googled more: http://www.devexpress.com/Support/Center/Example/Details/E293
Basically, you create the template as a class:
class MyHyperlinkTemplate : ITemplate {
public void InstantiateIn(Control container) {
ASPxHyperLink link = new ASPxHyperLink();
GridViewDataItemTemplateContainer gridContainer = (GridViewDataItemTemplateContainer)container;
link.NavigateUrl = string.Format("~/details.aspx?Device={0}", gridContainer.KeyValue);
link.Text = string.Format("Get details about device {0}", gridContainer.KeyValue);
container.Controls.Add(link);
}
}
then assign it to a column:
((GridViewDataColumn)ASPxGridView1.Columns["colItemTemplate"]).DataItemTemplate = new MyHyperlinkTemplate();