Completing edit with an enter key press

private void propGrid_KeyDown(object sender, KeyEventArgs e) {
   if (e.Key == Key.Enter)
      this.propGrid.Focus();
   }
}

If TypeOf e.OriginalSource Is TextBox AndAlso e.Key = Key.Return Then
                ' Enter key in a TextBox - move focus back to the PropertyGridDataAccessorItem
                DirectCast(e.OriginalSource, UIElement).MoveFocus(New TraversalRequest(FocusNavigationDirection.Previous))
            ElseIf TypeOf e.OriginalSource Is TextBox AndAlso e.Key = Key.Escape Then
                ' Cancel the edit in progress
                Dim BindingExpression As BindingExpression = DirectCast(e.OriginalSource, TextBox).GetBindingExpression(TextBox.TextProperty)
                If BindingExpression IsNot Nothing Then
                    BindingExpression.UpdateTarget()
                    ' Now move focus back to the PropertyGridDataAccessorItem
                    DirectCast(e.OriginalSource, UIElement).MoveFocus(New TraversalRequest(FocusNavigationDirection.Previous))
                End If
            ElseIf TypeOf e.OriginalSource Is PropertyGridDataAccessorItem Then
                ' This is the focus item when the property has focus but an edit isn't in progress
                DirectCast(e.OriginalSource, PropertyGridDataAccessorItem).MoveFocus(New TraversalRequest(FocusNavigationDirection.Next))
            End If

/// <summary>
/// Provides attached behaviors for various controls that can update the associated binding source.
/// </summary>
public static class BindingSourceUpdateBehavior {

    #region Dependency Properties

    /// <summary>
    /// Identifies the <c>IsUpdatedOnEnter</c> attached dependency property.  This field is read-only.
    /// </summary>
    /// <value>The identifier for the <c>IsUpdatedOnEnter</c> attached dependency property.</value>
    public static readonly DependencyProperty IsUpdatedOnEnterProperty = DependencyProperty.RegisterAttached("IsUpdatedOnEnter",
        typeof(bool), typeof(BindingSourceUpdateBehavior), new FrameworkPropertyMetadata(false, OnIsUpdatedOnEnterPropertyValueChanged));

    #endregion // Dependency Properties

    /////////////////////////////////////////////////////////////////////////////////////////////////////
    #region NON-PUBLIC PROCEDURES
    /////////////////////////////////////////////////////////////////////////////////////////////////////

    /// <summary>
    /// Handles the <c>KeyDown</c> event of an attached <see cref="UIElement"/> control.
    /// </summary>
    /// <param name="sender">The source of the event.</param>
    /// <param name="e">The <see cref="KeyEventArgs"/> instance containing the event data.</param>
    private static void OnElementKeyDown(object sender, KeyEventArgs e) {
        if (e.Key == Key.Enter) {
            UpdateBindingSource(sender as UIElement);
            e.Handled = true;
        }
    }

    /// <summary>
    /// Called when <see cref="IsUpdatedOnEnterProperty"/> is changed.
    /// </summary>
    /// <param name="d">The dependency object that was changed.</param>
    /// <param name="e">The <see cref="DependencyPropertyChangedEventArgs"/> instance containing the event data.</param>
    private static void OnIsUpdatedOnEnterPropertyValueChanged(DependencyObject d, DependencyPropertyChangedEventArgs e) {
        UIElement element = d as UIElement;
        if (null == element)
            return;

        if ((bool)e.NewValue)
            element.KeyDown += OnElementKeyDown;
        else
            element.KeyDown -= OnElementKeyDown;
    }

    /// <summary>
    /// Updated the binding expression of the text property on the specifed <see cref="UIElement"/>.
    /// </summary>
    /// <param name="element">The element.</param>
    private static void UpdateBindingSource(UIElement element) {
        if (element == null)
            return;

        BindingExpression bindingExpression = null;

        var textBox = element as TextBox;
        if (textBox != null) {
            bindingExpression = textBox.GetBindingExpression(TextBox.TextProperty);
        }
        else {
            var comboBox = element as ComboBox;
            if (comboBox != null && comboBox.IsEditable)
                bindingExpression = comboBox.GetBindingExpression(ComboBox.TextProperty);
        }

        if (bindingExpression != null)
            bindingExpression.UpdateSource();
    }

    #endregion // NON-PUBLIC PROCEDURES

    /////////////////////////////////////////////////////////////////////////////////////////////////////
    #region PUBLIC PROCEDURES
    /////////////////////////////////////////////////////////////////////////////////////////////////////

    /// <summary>
    /// Gets the value of the <see cref="IsUpdatedOnEnterProperty"/> attached property for a specified object.
    /// </summary>
    /// <param name="obj">The object to which the attached property is retrieved.</param>
    /// <returns>
    /// <c>true</c> if the containing drop-down should be closed when the <c>Escape</c> key is pressed; otherwise <c>false</c>.
    /// </returns>
    [SuppressMessage("Microsoft.Design", "CA1011:ConsiderPassingBaseTypesAsParameters")]
    public static bool GetIsUpdatedOnEnter(UIElement obj) {
        if (null == obj) throw new ArgumentNullException("obj");
        return (bool)obj.GetValue(IsUpdatedOnEnterProperty);
    }
    /// <summary>
    /// Sets the value of the <see cref="IsUpdatedOnEnterProperty"/> attached property to a specified object.
    /// </summary>
    /// <param name="obj">The object to which the attached property is written.</param>
    /// <param name="value">
    /// A value indicating whether the containing drop-down should be closed when the <c>Escape</c> key is pressed.
    /// </param>
    [SuppressMessage("Microsoft.Design", "CA1011:ConsiderPassingBaseTypesAsParameters")]
    public static void SetIsUpdatedOnEnter(UIElement obj, bool value) {
        if (null == obj) throw new ArgumentNullException("obj");
        obj.SetValue(IsUpdatedOnEnterProperty, value);
    }

    #endregion // PUBLIC PROCEDURES
}

<propgrid:PropertyGrid>
    <propgrid:PropertyGrid.Resources>
        <Style TargetType="TextBox">
            <Setter Property="local:BindingSourceUpdateBehavior.IsUpdatedOnEnter" Value="True" />
        </Style>
        <Style TargetType="ComboBox">
            <Setter Property="local:BindingSourceUpdateBehavior.IsUpdatedOnEnter" Value="True" />
        </Style>
    </propgrid:PropertyGrid.Resources>
</propgrid:PropertyGrid>

Public Sub New()
        [AddHandler](PreviewKeyDownEvent, New KeyEventHandler(AddressOf PreviewKeyDownHandler))
        [AddHandler](KeyDownEvent, New KeyEventHandler(AddressOf KeyDownHandler))
    End Sub

    Private Sub PreviewKeyDownHandler(ByVal sender As System.Object, ByVal e As System.Windows.Input.KeyEventArgs)
        If TypeOf e.OriginalSource Is TextBox AndAlso e.Key = Key.Return _
            AndAlso (e.KeyboardDevice.Modifiers And ConsoleModifiers.Control) <> ConsoleModifiers.Control Then

            ' Enter key in a TextBox - move focus back to the PropertyGridDataAccessorItem
            DirectCast(e.OriginalSource, UIElement).MoveFocus(New TraversalRequest(FocusNavigationDirection.Previous))
            e.Handled = True
        ElseIf TypeOf e.OriginalSource Is TextBox AndAlso e.Key = Key.Escape Then
            ' Cancel the edit in progress
            Dim TextProperty As DependencyProperty = Nothing
            TextProperty = TextBox.TextProperty

            Dim BindingExpression As BindingExpression = DirectCast(e.OriginalSource, FrameworkElement).GetBindingExpression(TextProperty)
            If BindingExpression IsNot Nothing Then
                BindingExpression.UpdateTarget()
                ' Now move focus back to the PropertyGridDataAccessorItem
                DirectCast(e.OriginalSource, UIElement).MoveFocus(New TraversalRequest(FocusNavigationDirection.Previous))
            End If
        End If
    End Sub

    Private Sub KeyDownHandler(ByVal sender As System.Object, ByVal e As System.Windows.Input.KeyEventArgs)
        If TypeOf e.OriginalSource Is PropertyGridDataAccessorItem Then
            ' This is the focus item when the property has focus but an edit isn't in progress
            DirectCast(e.OriginalSource, PropertyGridDataAccessorItem).MoveFocus(New TraversalRequest(FocusNavigationDirection.Next))
        End If
    End Sub