type
  TYourClass=class(WhatEverclass you want)
  private
    FOnDblClick : TNotifyEvent;
  procedure WMDblClick(var :TWMLButtonDBLCLK);
    message WM_LBUTTONDBLCLK;
  // ..
  public
    OnDblClick : TNotifyEvent read FOnDblClick write FOnDblClick;
  end;

// if you don't want a property OnDblClick
procedure TYourClass.WMDblClick(var :TWMLButtonDBLCLK);
begin
  inherited;
  // do your stuff here
end;

// or: if you do want a property OnDblClick
procedure TYourClass.WMDblClick(var :TWMLButtonDBLCLK);
begin
  inherited;
  if Assigned (FOnDblClick)
    FOnDblClick(Self);
end;