[Gupta]

yener had used A dummy label to use as shadows.
jst top and left property be +1 else everything is same

procedure UpdateShadow(var Current, Shadow :TLabel);
begin
  if Shadow = nil then
    Shadow := TLabel.Create(WizardForm);
  if Current.Visible and (ShadowTXT >= 0) then begin
    with Shadow do begin
      Caption := Current.Caption;
      Alignment := Current.Alignment;
      AutoSize := Current.Autosize;
      Transparent := Current.Transparent;
      WordWrap := Current.Wordwrap;
      Parent := Current.Parent;
      OnClick := Current.OnClick;
      OnDblClick := Current.OnDblClick;
      OnMouseDown := Current.OnMouseDown;
      OnMouseMove := Current.OnMouseMove;
      OnMouseUp := Current.OnMouseUp;
      Font.Color := ShadowTXT;  
      Font.Size := Current.Font.Size;
      Font.Name := Current.Font.Name;
      Font.Style := Current.Font.Style;
      Visible := Current.Visible;
      Height := Current.Height;
      Width := Current.Width;
      Left := Current.Left + 1;
      Top := Current.Top + 1;
      SendToBack;
    end;
  end else
    Shadow.Hide;
end;

or
https://msdn.microsoft.com/en-us/lib...(v=vs.85).aspx