[ecfisa]

Hola Ibidi.

Fijate si te sirve de este modo:

Código Delphi [-]
...
procedure TForm1.FormCreate(Sender: TObject);
begin
  with DataSet do //DataSet = referido por: DBGrid.DataSource.DataSet
  begin
    CachedUpdates:= True;
    Open;
  end;
end;

...

procedure TForm1.FormClose(Sender: TObject; var Action: TCloseAction);
begin
   if DataSet.UpdatesPending then
    if MessageBox(0,'¿ Desea guardar los cambios ?','',MB_YESNO+MB_ICONQUESTION)=IDYES then
      DataSet.ApplyUpdates;
end;

procedure TForm1.FormDestroy(Sender: TObject);
begin
  with DataSet do
  begin
    Close;
    CachedUpdates:= False;
  end;
end;

Saludos