[roman]

Una variante, usando un componente ApplicationEvents:

Código Delphi [-]
procedure TForm1.ApplicationEvents1Message(var Msg: tagMSG; var Handled: Boolean);
begin
  with Msg do
    if (message = WM_KEYDOWN) and (wParam = VK_RETURN) and (ActiveControl is TCustomEdit) then
    begin
      SelectNext(ActiveControl, true, true);
      Handled := true; // con esto quitamos el beep
    end;
end;

// Saludos