procedure TForm1.FormCreate(Sender: TObject);
begin
  FMyThread := TMyThread.Create(false);
end;

procedure TForm1.WndProc(var Msg: TMessage);
begin
  if assigned(FMyThread) then
  begin
    OutputDebugString(PWideChar('TForm1.WndProc - Msg: #' + IntToStr(Msg.Msg)));
    PostMessage(FMyThread.GetWNDHandle,Msg.Msg,Msg.WParam,Msg.LParam);
  end;
  inherited;
end;

type
  TMyThread = class(TThread)
  private
    FWNDHandle: Cardinal;
    procedure WndProc(var Msg: TMessage);
  protected
    procedure Execute; override;
  public
    property GetWNDHandle: Cardinal read FWNDHandle;
  end;

implementation

uses
  Windows, SysUtils;

procedure TMyThread.Execute;
begin
  FWNDHandle := AllocateHWnd(WndProc);

  while not Terminated do
  begin
    //suspend();
  end;

  DeallocateHWnd(FWNDHandle);
end;

procedure TMyThread.WndProc(var Msg: TMessage);
begin
  OutputDebugString(PWideChar('TMyThread.WndProc - Msg: #' + IntToStr(Msg.Msg)));
end;