I know that i can record sounds by Media Player component, but after record i have to save it and then play it. But is there any way to play it instantly or with a custom delay?
You can easily do it with LakeofSoft VC components. Their voice recording demo works like you want.
You might try the audio library at: http://www.un4seen.com/
The "BASS" DLLs work fine with Windows Xp and Win 7. They are free for non-commercial use. The download includes a simple Delphi example of an audio recorder that allows one to "record," then "save" as an audio file or "playback" the file immediately without saving the audio file while the audio file is still in memory. "BASS" works very well with Delphi 2007. It might work great for your purposes.