In my flex app I store the widths and visiblility of columns in an xml file. When the app loads it reads from the xml file and sets he columns values as applicable:
Is you horizontalScrollPolicy set to false on the datagrid?
"If the DataGrid's horizontalScrollPolicy property is false, all visible columns must fit in the displayable area, and the DataGrid will not always honor the width of the columns if the total width of the columns is too small or too large for the displayable area."
http://livedocs.adobe.com/flex/3/langref/mx/controls/dataGridClasses/DataGridColumn.html#width