unit Unit1;

interface

uses
  Windows, Messages, SysUtils, Variants, Classes, Graphics, Controls, Forms,
  Dialogs, ExtCtrls, StdCtrls;

type
  TForm1 = class(TForm)
    Shape1: TShape;
    Button1: TButton;
    procedure Button1Click(Sender: TObject);
  private
    procedure ShapeMouseDown(Sender: TObject; Button: TMouseButton;
      Shift: TShiftState; X, Y: Integer);
  public
    { Public declarations }
  end;

var
  Form1: TForm1;

implementation

{$R *.dfm}

procedure TForm1.ShapeMouseDown(Sender: TObject; Button: TMouseButton;
  Shift: TShiftState; X, Y: Integer);
begin
  TShape(Sender).Brush.Color := clRed;
end;

procedure TForm1.Button1Click(Sender: TObject);
var
  Shape: TShape;
begin
  Shape := TShape.Create(Self);
  Shape.Parent := Self;
  Shape.OnMouseDown := ShapeMouseDown; // <- for each created object assign the private event handler method
end;

end.