Overriding "Delphi" Mouse Wheel Handling

I have an MDI app, with MDI child forms that consists of a
multiple-selection list box control.  I would like to have the mouse wheel
move the caret index as opposed to scrolling the list box.  I've tried
overriding OnMouseWheel in the form, but this event does not seem to always
be called when the mouse is scrolled - I switch to the application, click on
the list box (which fills up the entire form), and the event is not alway
triggered when I hit the mouse wheel, no discernable pattern, yet.

I have a Microsoft Intellisoft mouse, using Microsoft drivers, and have had
no problems with it.

Is what I'm trying to do possible, or should I give up?

Thanks for any input.