TForm.FormKeyDown 이벤트를 사용하시면 될거 같구요

procedure TForm1.FormKeyDown(Sender: TObject; var Key: Word;
  Shift: TShiftState);
begin
  if Key = VK_UP then
  MessageDlg('VK_UP has been pressed', mtInformation, [mbOK], 0)
end;

-- 아래는 KEY 값입니다.

VK_LBUTTON        Left mouse button
VK_RBUTTON        Right mouse button
VK_CANCEL        Control+Break
VK_MBUTTON        Middle mouse button
VK_BACK        Backspace key
VK_TAB        Tab key
VK_CLEAR        Clear key
VK_RETURN        Enter key
VK_SHIFT        Shift key
VK_CONTROL        Ctrl key
VK_MENU        Alt key
VK_PAUSE        Pause key
VK_CAPITAL        Caps Lock key
VK_KANA        Used with IME
VK_HANGUL        Used with IME
VK_JUNJA        Used with IME
VK_FINAL        Used with IME
VK_HANJA        Used with IME
VK_KANJI        Used with IME
VK_CONVERT        Used with IME

VK_NONCONVERT        Used with IME
VK_ACCEPT        Used with IME
VK_MODECHANGE        Used with IME
VK_ESCAPE        Esc key
VK_SPACE        Space bar
VK_PRIOR        Page Up key
VK_NEXT        Page Down key
VK_END        End key
VK_HOME        Home key
VK_LEFT        Left Arrow key
VK_UP        Up Arrow key
VK_RIGHT        Right Arrow key
VK_DOWN        Down Arrow key
VK_SELECT        Select key
VK_PRINT        Print key (keyboard-specific)
VK_EXECUTE        Execute key
VK_SNAPSHOT        Print Screen key
VK_INSERT        Insert key
VK_DELETE        Delete key
VK_HELP        Help key

VK_LWIN        Left Windows key (Microsoft keyboard)
VK_RWIN        Right Windows key (Microsoft keyboard)
VK_APPS        Applications key (Microsoft keyboard)
VK_NUMPAD0        0 key (numeric keypad)
VK_NUMPAD1        1 key (numeric keypad)
VK_NUMPAD2        2 key (numeric keypad)
VK_NUMPAD3        3 key (numeric keypad)
VK_NUMPAD4        4 key (numeric keypad)
VK_NUMPAD5        5 key (numeric keypad)
VK_NUMPAD6        6 key (numeric keypad)
VK_NUMPAD7        7 key (numeric keypad)
VK_NUMPAD8        8 key (numeric keypad)
VK_NUMPAD9        9 key (numeric keypad)

VK_MULTIPLY        Multiply key (numeric keypad)
VK_ADD        Add key (numeric keypad)
VK_SEPARATOR        Separator key (numeric keypad)
VK_SUBTRACT        Subtract key (numeric keypad)
VK_DECIMAL        Decimal key (numeric keypad)
VK_DIVIDE        Divide key (numeric keypad)
VK_F1        F1 key
VK_F2        F2 key
VK_F3        F3 key
VK_F4        F4 key
VK_F5        F5 key
VK_F6        F6 key
VK_F7        F7 key
VK_F8        F8 key
VK_F9        F9 key
VK_F10        F10 key
VK_F11        F11 key
VK_F12        F12 key
VK_F13        F13 key
VK_F14        F14 key
VK_F15        F15 key

VK_F16        F16 key
VK_F17        F17 key
VK_F18        F18 key
VK_F19        F19 key
VK_F20        F20 key
VK_F21        F21 key
VK_F22        F22 key
VK_F23        F23 key
VK_F24        F24 key
VK_NUMLOCK        Num Lock key
VK_SCROLL        Scroll Lock key
VK_LSHIFT        Left Shift key (only used with GetAsyncKeyState and GetKeyState)
VK_RSHIFT        Right Shift key  (only used with GetAsyncKeyState and GetKeyState)
VK_LCONTROL        Left Ctrl key  (only used with GetAsyncKeyState and GetKeyState)
VK_RCONTROL        Right Ctrl key  (only used with GetAsyncKeyState and GetKeyState)

VK_LMENU        Left Alt key  (only used with GetAsyncKeyState and GetKeyState)
VK_RMENU        Right Alt key  (only used with GetAsyncKeyState and GetKeyState)
VK_PROCESSKEY        Process key
VK_ATTN        Attn key
VK_CRSEL        CrSel key
VK_EXSEL        ExSel key
VK_EREOF        Erase EOF key
VK_PLAY        Play key
VK_ZOOM        Zoom key
VK_NONAME        Reserved for future use
VK_PA1        PA1 key
VK_OEM_CLEAR        Clear key