At the moment, for 404's, there's no simple way to handle a graceful 404.  One of hte planned future enhancements for the Url Master module is a per-portal custom 404 page.

You can also reformat the 'error' page that is distributed with DNN, so that it looks more like a 404 error page.  This is called 'errorpage.aspx', and is found in the root of the DNN installation.

You're other choice is to write a small DNN skinobject / module and place it on your 404 page - and use this to change the http response status.

Another thing to consider is that if you're getting frequent 404 errors, you might want to capture those Urls in a custom redirect back to your home (or other) page, especially if you get 404 errors from search engine bots.  You need to check your site logs for these.