You can use SetDataItemTemplateContent method with a simple ActionLink and GridViewBaseRowTemplateContainer.KeyValue property:
@Html.DevExpress().GridView(settings =>
{
//General settings
settings.Name = "name";
settings.KeyFieldName = "ID";
//Other settings etc.....
settings.Columns.Add(column =>
{
column.Name = "Name";
column.FieldName = "CurrentFieldBoundToColumn";
column.Caption = "Some caption";
column.SetDataItemTemplateContent(content =>
ViewContext.Writer.Write(
Html.ActionLink(content.Text, "Action", "Controller",
new { ID = content.KeyValue }, null)));
});
//Other Columns etc etc
});