Определить состояние CapsLock 2

procedure AppOnIdle(Sender: TObject; var Done: Boolean);

...

procedure TForm1.AppOnIdle(Sender: TObject; var Done: Boolean);
begin
  CheckBox1.Checked := Odd(GetKeyState(VK_CAPITAL));
  CheckBox2.Checked := Odd(GetKeyState(VK_SHIFT));
  CheckBox3.Checked := Odd(GetKeyState(VK_NUMLOCK));
  CheckBox4.Checked := Odd(GetKeyState(VK_SCROLL));
  Done := False;
end;

procedure TForm1.FormCreate(Sender: TObject);
begin
  Application.OnIdle := AppOnIdle;
end;