I tried a script from a web site I run http://www.delphi-central.com/runtime.aspx and succeed.
private
  { Private declarations }
  procedure CustomButtonClick(Sender: TObject);
procedure TForm1.AddNewButtonClick(Sender: TObject);
var
  NewButton : TButton;
begin 
  NewButton := TButton.create(self);
  with NewButton do
  begin
    Top    := 30;
    Width  := 60;
    Left   := Width * (self.ControlCount-2);
    Parent := self;
    OnClick := CustomButtonClick;
    Caption := 'Button '+ inttostr (self.ControlCount-2);
  end;  //With
end;
procedure TForm1.DeleteLastButtonClick(Sender: TObject);
begin
  if Self.ControlCount>2 then
    TButton (Controls[ControlCount-1]).destroy;
end;
procedure TForm1.CustomButtonClick(Sender: TObject); 
begin    
    ShowMessage(TButton(Sender).caption + ' Pressed'); 
end;
But if I change the OnClick,
OnClick := CustomButtonClick; ==> OnClick := DeleteLastButtonClick;
it will generate an error message. How could this happen ...???