At form level, the tab key is generally handled by Windows. The following example demonstrates creating a CM_Dialog message handler to trap for Dialog keys. The code surfaces the tab character through the KeyPress event. Example:

type
  TForm  = class(TForm)
  private
    procedure CMDialogKey( Var msg: TCMDialogKey );
     message CM_DIALOGKEY;
  end;
var
  Form : TForm ;
implementation
{$R *.DFM}
procedure TForm .CMDialogKey(var msg: TCMDialogKey);
begin
  if msg.Charcode <> VK_TAB then
   inherited;
end;
procedure TForm .FormKeyDown(Sender: TObject; var Key: Word;
  Shift: TShiftState);
begin
  if Key = VK_TAB then
    Form .Caption := 'Tab Key Down!';
end;