Styling widgets such as DataTables can often take a considerable amount of time to fully integrate it into your site/application, with the demo styles as a base. This holds true for all widgets, and the jQuery UI team have addressed this issue by introducing themes through their excellent ThemeRoller. DataTables has full support for ThemeRoller created themes, all you need to do is enable the flag in the initialisation object, and the required mark-up and classes will be added by DataTables.
Update - please refer to the DataTables jQuery UI manual for details on how to use ThemeRoller styling with DataTables.