[Страдалецъ]

Ну вот смотрите, поведение аналогичное паинту:

Код:

procedure TForm1.PaintBox1MouseDown(Sender: TObject; Button: TMouseButton;
  Shift: TShiftState; X, Y: Integer);
begin
 PaintBox1.Canvas.Pen.Color := clRed;
 PaintBox1.Canvas.Pen.Width := 3;
 PaintBox1.Canvas.PenPos := Point(X,Y);
 PaintBox1.Canvas.LineTo(X, Y);
 PenDown := True;
end;

procedure TForm1.PaintBox1MouseMove(Sender: TObject; Shift: TShiftState; X,
  Y: Integer);
begin
 if PenDown
 then PaintBox1.Canvas.LineTo(X,Y);
end;

procedure TForm1.PaintBox1MouseUp(Sender: TObject; Button: TMouseButton;
  Shift: TShiftState; X, Y: Integer);
begin
 PenDown := False
end;