ForeignKey column not showing dropdown.

I'm trying to follow your Grid / ForeignKey column Add new record and adapt it to my own model. However, when I click on the foreign key column to edit it, all I get it is a numeric up down control. I have seen suggestions that I have to create an editor template for the foreign key with a ComboBox, but shouldn't the example mention this somewhere. I can't find any mention of a ForeignKey column anywhere in the documentation either. It seems some things just never improve.