type TfrmSomeForm = class(TForm)
    ....
    procedure NewWndProcGrid1(var Message: TMessage);
    procedure NewWndProcGrid2(var Message: TMessage);
    ....
var
  isSynchLosk: Boolean; // просто переключатель - сцепить/расцепить гриды (цепляем к кнопкам, чекбоксу и т.п.)
  OldWndProcGrid1: TWndMethod;
  OldWndProcGrid2: TWndMethod;
...  
procedure TfrmSomeForm.NewWndProcGrid1(var Message: TMessage);
begin
  if (Message.Msg = WM_HSCROLL) and isSynchLosk then
    OldWndProcGrid2(Message);

  OldWndProcGrid1(Message);
end;

procedure TfrmSomeForm.NewWndProcGrid2(var Message: TMessage);
begin
  if (Message.Msg = WM_HSCROLL) and isSynchLosk then
    OldWndProcGrid1(Message);

  OldWndProcGrid2(Message);
end;  
...
procedure TfrmSomeForm.FormCreate(Sender: TObject);
begin
  ...
  isSynchLosk := True; 
  OldWndProcGrid1     := grdGrid1.WindowProc;
  OldWndProcGrid2     := grdGrid2.WindowProc;
  grdGrid1.WindowProc := NewWndProcGrid1;
  grdGrid2.WindowProc := NewWndProcGrid2;
  ...
end;