FreeOnTerminate    = true;

선언을 하면 되네요..


SampleThread::SampleThread(TIdContext *Context, void *Buffer, int Size) : Thread(false)
{
     Priority = tpTimeCritical;
     FreeOnTerminate = true;

     lpStream = new TMemoryStream();
     lpStream->Write(Buffer, Size);
}
void __fastcall SampleThread::Execute(void)
{
     Context->Connection->IOHandler->Write(lpStream, Buffer, Size);

     delete lpStream;
    
     Terminate();
}