If you want to have shadows I wouldn't recommend using delphix. Alphablending isn't exactly delphix strongest point. I'm not sure about your game, since you haven't told much about it, but if your game requires many trees it will slowdown your game considerably.

If you want to keep speed up, and still want to have shadows, I recommend using a different package, like Omega for example.
I haven't worked much with Omega yet, but it looks a lot like DelphiX and has quite good support. I recommend giving it a try.

As for drawing the shadow itself, If you have made the image in a graphicseditor, you can make an image of the tree and an image of the shadow. You can then also decide at which coordinates you need to draw the shadow (say at 7,13 from the tree) Then in your game you first draw the shadow and then the tree.