You might have an easier time of using JEDI-SDL to learn game programming instead actually. DelphiX and even UnDelphiX rely on the VCL and components, though this might have been convenient back in 2002, it's not realistic as to how games are made today. SDL is a much better library to work with when starting out anyhow. Plus it's so much more straight-forward than the old DelphiX component suite.

I usually try not to knock a library or API in it's own forum, but seeing as you are just learning game programming, I'd rather you start off on the right foot and enjoy the learning process more so than having to wrap your head around a lot of nonsense from the early days that have nothing to do with game development. Try the JEDI-SDL library found here. And have a start on the Free Pascal meets SDL tutorial site to start learning how to work with graphics, game input, audio and the rest.

Also if you would like to check out the Game Development section on the Tutorials page at the Pascal Programming for Schools project site you'll find a good wealth of knowledge there too.