Hi Mikey. Welcome to PGD!

DirectX suites like Asphyre are great, but unfortunately you can only make Windows games with them. If this is all you want to do and youare satisfied wih DirectX, then cool. JEDI-SDL is another excellent API that uses either DirectX, OpenGL or the GDI for graphics and allows for cross-platform development. Also when you feel you are ready to start getting a bit more advanced with your game's graphics engine you can as an alternative make use of either the DirectX or OpenGL headers. DelphiGL.com hosts a set you can use or there is plenty of sites that host DirectX headers.

For sound there is OpenAL as an alternative to DirectX's DirectSound API.

Lots of options for later and some a bit more involved than drag and drop components that are available. VCL can be expensive and cumbersome at times plus other solutions offer more oppertunities and speed increases provided you take the time to learn them and depending on what your end goals are for the project aswell.