What version of Asphyre are you using?

In latest version of Asphyre / PXL (http://asphyre.net/products/pxl), the actual example illustrating it is called "FullScreenApp". Basically, you can specify any control that has a window handle attached to it (so TPanel will definitely work) and add to list of swap chains, then you simply pick what swap chain to render to.

In case of DX11, the swap chains are created transparently for you and are associated by SwapChainIndex, so you first have to make association with a particular control before rendering to it. If you need to somehow manage multiple indices related to multiple controls, maybe you can use something like TDictionary between control pointer and swap chain index, so you can easily determine what control is associated with what index.