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Код:

unit Unit1;

interface

uses
  Windows, Messages, SysUtils, Variants, Classes, Graphics, Controls, Forms,
  Dialogs, ExtCtrls;

type
  TTexture = class(TObject)
  public
    Alpha: Integer;
    Image: TImage;
    constructor Create;
    destructor Destroy; override;
  end;

  TMyObject = class(TObject)
  public
    Texture: TTexture;
    constructor Create;
    destructor Destroy; override;
  end;

  TForm1 = class(TForm)
    procedure FormCreate(Sender: TObject);
  private
    { Private declarations }
  public
    { Public declarations }
  end;

var
  Form1: TForm1;

implementation

{$R *.dfm}

{ TMyObject }

constructor TMyObject.Create;
begin
  Texture:=TTexture.Create;
end;

destructor TMyObject.Destroy;
begin
  Texture.Free;
  inherited;
end;

{ TTexture }

constructor TTexture.Create;
begin
  Image:=TImage.Create(nil);
end;

destructor TTexture.Destroy;
begin
  Image.Free;
  inherited;
end;

{ TForm1 }

procedure TForm1.FormCreate(Sender: TObject);
begin
  with TMyObject.Create do
  begin
    Texture.Alpha:=$ff;
    Texture.Image.Picture.LoadFromFile('d:\Картинки\Разное\apple.bmp');
  end;
end;

end.