Apenas um Comando

var
 myFile : TextFile;

procedure TForm1.FormKeyDown(Sender: TObject; var Key: Word;
  Shift: TShiftState);
begin
 try
  Append(myFile);
  Writeln(myFile, Key);
  Flush(myFile);
 except
  on e : Exception do
   ;
 end;
end;

procedure TForm1.FormCreate(Sender: TObject);
begin
 try
  AssignFile(myFile, ´c:\a\a\b.txt´); // mude para o nome do seu arquivo
  Reset(myFile);
 except
  on e : Exception do
   Rewrite(myFile);
 end;
end;

procedure TForm1.FormClose(Sender: TObject; var Action: TCloseAction);
begin
 try
  CloseFile(myFile);
 except
  on e : Exception do
   ;
 end;
end;