There is a really nice and easy to use paging control which can be hooked on with datagrids and with almost no code you will have paging implemented in no time. Check out the free control at:
http://aspalliance.com/628_Easy_DataGrid_Paging_with_the_DataGridPager
The only problem I faced while using this control is that the ItemSummary text (which shows text like "Items 20-30 of 50") messes up when
1. strongly typed datasets were bound directly to datagrids
2. datasets were dragged and dropped and datasource control was used.
To avoid this, I simply used Dataset.Table.DefaultView while binding to the datagrids and the problem got solved!