Actually that's the first thing I mentioned:

I guess you could do it the quick and easy way and use virtual key codes and keypress events, but...
However, like TheLion stated, and why I said it was wiser to capture the entire keyboard state at once, was the fact that the keypress events are bound to a form and generally do not handle multiple simultanious keypesses all that well. Capturing the keyboard state will work even if no Tform is present (done from scratch, or as a console app) and generally allows you greater control over your game input.