In Vanishing Point, a tool available since Photoshop CS2, you can save the current grid to your document window by holding down the Alt key (Option key on the Mac) when you click OK to close the Vansihing Point window. The grid will then be saved to your current layer (recommended is to save it to an empty layer). You can then change its color, warp it or apply any other kind of effect.
The resulting grid is not ani-aliased, so the lines don’t look smooth. You can avoid this by creating the image in a large document (several thousands of pixels wide/high) and then resize the image to the format you’re working with.

The grid can also be useful for perspective drawing in Photoshop by transforming it using Edit/Transform/Distort.

Vanishing Point grid