You should use a Low Level Keyboard Hook, because then you can get notified for every keystroke even if you application does not have focus. 
I've create a small example for you 
unit Unit1;
interface
uses
  Windows, Messages, SysUtils, Variants, Classes, Graphics, Controls, Forms,
  Dialogs, StdCtrls, Vcl.ExtCtrls;
const
  WM_UpdateScreen = WM_USER + 1;
type
  TForm1 = class(TForm)
    PanelCapsLock: TPanel;
    PanelNumlock: TPanel;
    procedure FormCreate(Sender: TObject);
    procedure FormClose(Sender: TObject; var Action: TCloseAction);
  private
    FHook: hHook;
    KeyState: TKeyboardState;
  public
    procedure UpdateScreen(var message: TMessage); message WM_UpdateScreen;
  end;
var
  Form1: TForm1;
implementation
{$R *.dfm}
type
  pKBDLLHOOKSTRUCT = ^KBDLLHOOKSTRUCT;
  KBDLLHOOKSTRUCT = packed record
    vkCode: DWORD;
    scanCodem: DWORD;
    flags: DWORD;
    time: DWORD;
    dwExtraInfo: ULONG_PTR;
  end;
var
  hkHook: hHook;
function LowLevelKeyboardProc(code: Integer; WParam: WParam; LParam: LParam): LRESULT stdcall;
const
  LLKHF_UP = $0080;
var
  Hook: pKBDLLHOOKSTRUCT;
  bControlKeyDown: Boolean;
begin
  try
    Hook := pKBDLLHOOKSTRUCT(LParam);
    case code of
      HC_ACTION:
        begin
          if (Hook^.flags and LLKHF_UP) <> 0 then
            if Hook.vkCode in [VK_NUMLOCK, VK_CAPITAL] then
              PostMessage(Form1.Handle, WM_UpdateScreen, Hook.vkCode, 0);
        end;
    end;
  finally
    Result := CallNextHookEx(hkHook, code, WParam, LParam);
  end;
end;
procedure HookIt;
begin
  hkHook := SetWindowsHookEx(WH_KEYBOARD_LL, @LowLevelKeyboardProc, hInstance, 0);
end;
procedure UnHookIt;
begin
  UnHookWindowsHookEx(hkHook);
end;
procedure TForm1.FormClose(Sender: TObject; var Action: TCloseAction);
begin
  UnHookIt;
end;
procedure TForm1.FormCreate(Sender: TObject);
begin
  GetKeyboardState(KeyState);
  PostMessage(Handle, WM_UpdateScreen, VK_CAPITAL, 1);
  PostMessage(Handle, WM_UpdateScreen, VK_NUMLOCK, 1);
  HookIt;
end;
procedure TForm1.UpdateScreen(var message: TMessage);
begin
  if message.LParam = 0 then
    if KeyState[message.WParam] = 0 then
      KeyState[message.WParam] := 1
    else
      KeyState[message.WParam] := 0;
  if KeyState[VK_NUMLOCK] = 0 then
    PanelNumlock.Color := clSilver
  else
    PanelNumlock.Color := clLime;
  if KeyState[VK_CAPITAL] = 0 then
    PanelCapsLock.Color := clSilver
  else
    PanelCapsLock.Color := clLime;
end;
end.
Basically on formCreate I hook the Keyboard, and tells my program in which function I need my notification. In my example I called it LowLevelKeyboardProc
Then you just need to test fot which key is pressed and if it is one of CapsLock of Num lock then nofify the form.