You would want to confirm the kind of records you need to have in your DNS zone file with SendGrid directly. As far as what the DNS entries would generally look like in your Cloudflare DNS entries for certain SendGrid records, please see below:
CNAME email is an alias of sendgrid.net
SPF yourdomain.com v=spf1 a mx include:sendgrid.net ~all
TXT yourdomain.com v=spf1 a mx include:sendgrid.net ~all
CNAME mtpapi._domainkey.YOURDOMAIN.com is an alias of dkim.sendgrid.net.
CNAME smtpapi._domainkey.e.YOURDOMAIN.COM is an alias of dkim.sendgrid.net
Important: These DNS records should be 'grey-clouded' in the Cloudflare dashboard, when you have an record orange-clouded it converts it to an A record and we present our IP addresses. This can break DNS records that are used for verification like Sendgrid.
Please see SendGrid's documentation on DNS entries as well.