Actually, I think that using a TImage in this situation is pretty conventional. I have seen many people suggest using the TImage, when either the TButton, or any of its associates did not have the right amount of control for whatever the developer was trying to do.
Have you tried a TBitBtn? I think when you get rid of the text it centers whatever image you have associated with it. I just checked in Delphi 6, all I have installed on this machine, and it had the MouseMove event.