Not to dismiss what Will said but I shall go into a bit more detail. I believe what you are after is "anti-aliased" lines. This involves drawing the line pixel by pixel in any colour you like (Let's say black for example) and then placing a slightly lighter colour either side of each pixel so that it blends in with the surrounding image, this works best when the blend colour is a mixture of the line colour and the colour of the surrounding image but a standard gray usually does the trick. As Will already mentioned DelphiX is not capable of doing this fast enough, in fact, in order to do it fast enough 3D acceleration is almost certainly required if framerate is an issue (and it most probably is since you're posting on a game development website). Hope this helped, if you have any trouble understanding any of this (I'm guessing English isn't your native language) then perhaps someone here can translate/reinterprate my answer. Good luck.

PS, try typing "Anti Aliasing Techniques" into Google.