Very late to the party here but in case anyone else stumbles across this page...
You can do it by setting the AutoGeneratingColumn handler in XAML:
<DataGrid AutoGeneratingColumn="OnAutoGeneratingColumn" ..etc.. />
And then in code behind do something like this:
private void OnAutoGeneratingColumn(object sender, DataGridAutoGeneratingColumnEventArgs e)
{
if (e.PropertyType == typeof(System.DateTime))
(e.Column as DataGridTextColumn).Binding.StringFormat = "dd/MM/yyyy";
}