Finally, I completed 4 SoftGrid with SMS scenarios.
SMS+SoftGrid+Domain
This is the most easiest one, And SoftGrid supports this scenario.
SMS Pri+SoftGrid+WorkGroup.
In this scenario, you need to use SoftGrid WebService for the Anonymous Authentication. And the WorkGroup Workstation Local User Account need to standardize. Also. create the same Domain User Account in Active Directory.
SoftGrid+WorkGroup
Same as the previrous one.
SMS Pri, Sec+SoftGrid+WorkGroup
This is the most diffcult and complex scenario. Other than the settings of "SMS Pri+SoftGrid+WorkGroup." Scenario, you also need to create the standardize local user account in the Sec Site Server, And make sure this account is able to access the SMS Distribution Share on the SMS Sec Site DP. (Add the Domain User Account to the DP's Local Users/Admins Group.)
In fact, the most difficult tasks are the permission consideration and testing. Because we have not enough info on the web to talk about it.
Maybe i missed some tips in this post. But i noted them on my memo already, if you want to get more information about it. Please feel free to contact me 
I tested the Integration of SMS 2003 and Microsoft SoftGrid.
And i followed the Instructions of the Softricity SoftGrid Integrate SMS guide, and it didn't work.
I found out that there are many mistakes and steps missed in this guide.
Finally, I wrote a new guide for it. (I'm Sorry, I can't Publish it to Public in this moment. Please wait until June 2007)
However, If you have any questions about SoftGrid and SMS integration, I will try my best to answer your questions.
PS. I'm currently testing SMS+SoftGrid+WorkGroup machines, and I can let SoftGrid works with WorkGroup machines perfectly by Web Services. I hope that i can integrate SMS into them soon.