TYourObject = class(TAnyControl)
  ...
  private
  FMouseInPos: Boolean;
  procedure CMMouseEnter(var AMsg: TMessage); message CM_MOUSEENTER;
  procedure CMMouseLeave(var AMsg: TMessage); message CM_MOUSELEAVE;
  ...
end;

implementation

procedure TYourObject.CMMouseEnter(var AMsg: TMessage);
begin
  FMouseInPos := True;
  Refresh;
end;

procedure TYourObject.CMMouseLeave(var AMsg: TMessage);
begin
  FMouseInPos := False;
  Refresh;
end;