Update 2, if it can help someone:

Finally I don't manage the drag and drop by myself using
DragManager.doDrag(...). Why? Because doing so if the user clicks on the
scrollbars, on the datagrid header or on an empty row, it triggers the drag
start and that is ugly. By letting Flex managing the drag and drop process,
this doesn't append. BUT I was unable to use a custom proxy image then. Until I
found this article:

[url]http://www.dgrigg.com/post.cfm/11/03/2006/DataGrid-Drag-Image[/url]

The trick is:

1) save the mouseX and mouseY using the mousedown event.
2) override dragImage(), as the article says, to create your custom proxy,
attaching to it a FlexEvent.UPDATE_COMPLETE event, saving it to a class
variable and returning it.
3) When you receive the FlexEvent.UPDATE_COMPLETE event, you update the proxy
position (that is saved in a class variable) using the saved mouseX and mouseY
and you remove the listener to the event:



When you drop the proxy, you access the dragged items in :
event.dragSource.dataForFormat("items")

Hope this helps, I spent lot of time trying to resolve this issue! Now it
works perfectly! :-)