[The Shadow]

Код:

type
  TOnMouseMove = procedure (<параметры>) of object;
...
private
  FOnMouseMove: TOnMouseMove;
  procedure MouseMove(var Message: TWMMouseMove); message WM_MOUSEMOVE;
published
  OnMouseMove: TOnMouseMove read FOnMouseMove write FOnMouseMove;
...
procedure TMyComponent.MouseMove(var Message: TWMMouseMove);
begin
  if Assigned(FOnMouseMove) then FOnMouseMove(<параметры>);
end;

Вроде так...