I use Linq to Sql and UltraGrid a lot. I do just as you said. I add a project data source and I get a binding source in my form. Ofcourse, this won't put the data itself on the grid when you run the app, but this is how any object data source work.
In your form, use the load event to load data and put it in BindingSource.DataSource.
Amiram Korach said: I get a binding source in my form
I get a binding source in my form
You can also drag a BindingSource from the toolbox and do the same steps for the BindingSource. After that you can select the BindingSource as the data source of the grid.