Or for a wrap that works regardless of which text you put in (especially when handling user input of varying length), you could use an own derivate of TCustomDialog (I think that's the appropriate base class but I'm not sure).
Give it a nice big TLabel and set it's Wrap property on, have the FormCreate resize the label as appropriate, give it a method to change the label's caption and you're set - Just create an object of your new class, set it's label and size in code, and call it with ShowModal.
For just one message of which you know the contents beforehand, this is of course a lot of unnecessary work... In such a context, just using line breaks is a lot simpler and more efficient. But eventually you're going to need this sort of custom dialog quite a few times throughout your various applications. The good news is that, if written right, you only have to write it once and can then use it in all your new applications.