interface
..........
type 
TMyObject = class(TObject)
 procedure ServerSocketClientConnect(Sender: TObject; Socket: СustomWinSocket);
 procedure ServerSocketClientConnect2(Sender: TObject; Socket: СustomWinSocket);
end;
............
var SocketServer: TSocketServer;
     MyObj : TMyObject;

implementation

........
procedure SomeProcedure;
begin
.......................
    MyObj := TMyObject.Create();
    ServerSocket.OnClientConnect:=MyObj.ServerSocketClientConnect2;
......................

end;