If it has TControl as an ancestor then put:
published property OnDblClick;
into your class declaration.
Otherwise use the following code to capture the message:
 
 type
 TYourClass=class(WhatEverclass you want)
 private
 FOnDblClick : TNotifyEvent;
 procedure WMDblClick(var :TWMLButtonDBLCLK);
 message WM_LBUTTONDBLCLK;
 // ..
 public
 OnDblClick : TNotifyEvent read FOnDblClick write FOnDblClick;
 end;
// if you don't want a property OnDblClick
procedure TYourClass.WMDblClick(var :TWMLButtonDBLCLK);
begin
 inherited;
 // do your stuff here
end;
// or: if you do want a property OnDblClick
procedure TYourClass.WMDblClick(var :TWMLButtonDBLCLK);
begin
 inherited;
 if Assigned (FOnDblClick)
 FOnDblClick(Self);
end;