You are correct about the UDF. This little jobber helps though.
Sub SpellCheckColumn()
Dim rRng As Range
Set rRng = Range("A1", Range("A" & Rows.Count).End(xlUp))
For Each rCell In rRng
If Not Application.CheckSpelling(rCell) Then
rCell.Offset(, 1) = "Checkspell Error"
Next rCell
End Sub