Other's have shown how to use -i, -p, -n, etc. But I wanted to point out another issue.

I use a program called tcgrep, which is a grep clone written in Perl by Tom Christenson. I've updated it to do its own globbing in Windows platforms. I don't know if that does replacements... but, being such a common thing, I'll bet an egrep or whatever exists too, that does this with lots of fancy and subtle features.