You can't use regular VCL interfaces in Direct3D-based applications. However, the good news is that AsphyreGUI is VCL-like set of components and visual designer to make VCL-like interfaces in Asphyre. It is still under development and will be included in the release of Asphyre eXtreme (no exact release date, but is scheduled to be ready before December 2005).

You can see AsphyreGUI in action in JawBreaker game posted by 2morrowman on Afterwarp forums.
Check it out here:
http://www.afterwarp.com/forum/showthread.php?t=28

P.S. Since AsphyreGUI is considerably different from the version used in JawBreaker, here's a small application that shows few windows using new AsphyreGUI (frame-rate is limited to 100 FPS max using new TAsphyreTimer):
http://www.afterwarp.com/downloads/new-asphyregui.zip