GetCapture()라는  windows API 함수를 이용하여 구현하면됩니다.

예)

procedure TForm1.FormDeactivate(Sender: TObject);
begin
        ReleaseCapture;
end;

procedure TForm1.FormMouseMove(Sender: TObject; Shift: TShiftState; X,
Y: Integer);
begin
        If GetCapture = 0 then
                SetCapture(Form1.Handle);
        if PtInRect(Rect(Form1.Left, Form1.Top, Form1.Left + Form1.Width, Form1.Top + Form1.Height),
                ClientToScreen(Point(x, y))) then
                Form1.Caption := 'Mouse is over form'
        else
                Form1.Caption := 'Mouse is outside of form';
end;