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Use CM_DIALOGKEY message. Create special procedure to hook this message and make something, when result is Tab key.

type
  TForm1 = class(TForm)
  private
    { Private declarations }
    procedure CMDialogKey(var Msg: TCMDialogKey);
      message CM_DIALOGKEY;
  public
    { Public declarations }
  end;

...

procedure TForm1.CMDialogKey(var msg: TCMDialogKey);
begin
  if Msg.CharCode=VK_TAB then
    Caption:='Tab Key was pressed';
end;

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