At the moment I'm cleaning up sourcecode of my game Pop the Balloon. In that game I let balloons explode into pixels, when you click on them. It pretty much covers what you ask.
When the 'Making of' is ready, somewhere later this week, I'll release it all on my website, so you can take a peek.



In the meantime, here are a few tips.
Take your origional image and loop through its surface. Check for each pixel, if its the transparant color, do nothing, if its no transparant pixel, create, copy, mark, whatever, a new pixel.

I'm not sure how large your sprite is, and how many of these sprites have to explode at the same time, but I would advice to go easy on the number. DelphiX, isn't the fastest engine in the world.