1.  Set Form's KeyPreview property to true
2.  Put this code on your component's OnKeyPress event

procedure TForm1.Edit1KeyPress (Sender: TObject; var Key: Char);
const
  ReturnKey = #13;
begin
  if Key = ReturnKey then
    perform (WM_NEXTDLGCTL, 0, 0);
end;

OR

procedure TForm1.FormKeyDown(Sender: TObject; var Key: Word;
  Shift: TShiftState);
begin
  if Key = VK_RETURN then
  begin
    Key := #0;
    Perform (WM_NEXTDLGCTL,0,0);
  end;
end;