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const
  wm_SelfMessage_1 = wm_user + 1;
  wm_SelfMessage_2 = wm_user + 2;
  ...

type
  tMyMessageform = CLass(TForm)
  public
    procedure WMSelfMessage_1(var Msg:TMessage);Message wm_SelfMessage_1;
    procedure WMSelfMessage_2(var Msg:TMessage);Message wm_SelfMessage_2;
end;					

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procedure MyWndProc(var Msg:TMessage);
begin
 inherited;
end;

constructor TMyComponent.Create(AOwner:TComponent);
begin
 (AOwner as TForm).DefWndProc:=@MyWndProc;
end;