Mira en la página de Torry... Ahí hay un componente llamado "Tmagnetic" que hace lo que tu quieres:
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TMagnetic v.1.01 By Zhong Wan.
TMagnetic allows you move form like Winamp does, i.e. forms has ability to be docked to Screen, Explorer, TrayBar and other applications. Also you can change size of the forms without captions.
Fully functional
Source: Included
Exe-demo included
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Descargable desde
http://www.torry.net/vcl/forms/effects/zmagnetic.zip
Un saludo