What you could do is reuse the DynamicTypeDescriptor class described in my answer to this question here on SO: PropertyGrid Browsable not found for entity framework created property, how to find it?

like this for example:

public Form1()
{
    InitializeComponent();

    DynamicTypeDescriptor dt = new DynamicTypeDescriptor(typeof(MyBeautifulClass));

    // initialize the class the way you want
    MyBeautifulClass c = new MyBeautifulClass();
    c.MyProperty = "hello world";

    // we need to replace a property by another version, so let's remove the existing one
    dt.RemoveProperty("MyProperty");

    // create a new similar property with a new editor and the current value
    dt.AddProperty(
        typeof(string),            // type
        "MyProperty",              // name
        c.MyProperty,              // value
        "My Property",             // display name 
        "My Property Description", // description
        "My Category",             // category
        false,                     // has default value?
        null,                      // default value
        false,                     // readonly?
        typeof(MyEditor));         // editor 

    // create a wrapped object from the original one.
    // unchanged properties will keep their current value
    var newObject = dt.FromComponent(c);

    // hook on value change
    newObject.PropertyChanged += (sender, e) =>
    {
        // update the original object
        // note: the code could be made more generic
        c.MyProperty = newObject.GetPropertyValue<string>(e.PropertyName, null);
    };

    propertyGrid1.SelectedObject = newObject;
}

public class MyBeautifulClass
{
    public string MyProperty { get; set; }
}

// this stupid sample editor puts a current string in upper case... :-)
public class MyEditor : UITypeEditor
{
    public override UITypeEditorEditStyle GetEditStyle(ITypeDescriptorContext context)
    {
        return UITypeEditorEditStyle.Modal;
    }

    public override object EditValue(ITypeDescriptorContext context, IServiceProvider provider, object value)
    {
        return value == null ? value : value.ToString().ToUpper();
    }
}