Mejor si colocas al form en propiedades keypreview=true y usas los eventos:
OnKeyDown, OnKeyPress , Onkeyup, etc.
Puede ser un poco desorientador trabajar con una interfaz orientada a eventos si usaste antes Pascal en compiladores antiguos, pero ya te acostumbrarás y verás las ventajas.
Otra opción, un tanto no recomendable, es tener un ciclo y revisar el estado de las teclas con:
GetKeyState(VkKeyScan('a'))
Y no te olvides de incluir en el ciclo el "application.ProcessMessages;" o se quedará todo "trabado".
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The GetKeyState function retrieves the status of the specified virtual key. The status specifies whether the key is up, down, or toggled (on, off ¾ alternating each time the key is pressed).
SHORT GetKeyState(
int nVirtKey // virtual-key code
);
Return Value
If the function succeeds, the return value specifies the status of the given virtual key. If the high-order bit is 1, the key is down; otherwise, it is up. If the low-order bit is 1, the key is toggled. A key, such as the CAPS LOCK key, is toggled if it is turned on. The key is off and untoggled if the low-order bit is 0. A toggle key's indicator light (if any) on the keyboard will be on when the key is toggled, and off when the key is untoggled.
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The VkKeyScan function translates a character to the corresponding virtual-key code and shift state for the current keyboard.
SHORT VkKeyScan(
TCHAR ch // character to translate
);
