type
  TKeyType = (ktCapsLock, ktNumLock, ktScrollLock);

procedure SetLedState(KeyCode: TKeyType; bOn: Boolean);
var
  KBState: TKeyboardState;
  Code: Byte;
begin
  case KeyCode of
    ktScrollLock: Code := VK_SCROLL;
    ktCapsLock: Code := VK_CAPITAL;
    ktNumLock: Code := VK_NUMLOCK;
  end;
  GetKeyboardState(KBState);
  if (Win32Platform = VER_PLATFORM_WIN32_NT) then
  begin
    if Boolean(KBState[Code]) <> bOn then
    begin
      keybd_event(Code,
                  MapVirtualKey(Code, 0),
                  KEYEVENTF_EXTENDEDKEY,
                  0);
      keybd_event(Code,
                  MapVirtualKey(Code, 0),
                  KEYEVENTF_EXTENDEDKEY or KEYEVENTF_KEYUP,
                  0);
    end;
  end
  else
  begin
    KBState[Code] := Ord(bOn);
    SetKeyboardState(KBState);
  end;
end;

procedure TForm1.Button1Click(Sender: TObject);
begin
  SetLedState(ktCapsLock, True);  // CapsLock on
  SetLedState(ktNumLock, True);  // NumLock on
  SetLedState(ktScrollLock, True);  // ScrollLock on
end; 