How to create a console application that does not terminate?

In C++, a console application can have a message handler in its WinMain procedure, like this:

int WINAPI WinMain(HINSTANCE hInstance, HINSTANCE hPrevInstance, LPSTR lpCmdLine, int nCmdShow)
{
    HWND hwnd;
    MSG msg;

    #ifdef _DEBUG
    CreateConsole("Title");
    #endif

    hwnd = CreateDialog(hInstance, MAKEINTRESOURCE(IDD_DIALOG1), NULL, DlgProc);
    PeekMessage(&msg, NULL, 0, 0, PM_NOREMOVE);
    while(msg.message != WM_QUIT)
    {
        if(PeekMessage(&msg, NULL, 0, 0, PM_REMOVE))
        {
            if(IsDialogMessage(hwnd, &msg))
                continue;
            TranslateMessage(&msg);
            DispatchMessage(&msg);
        }

    }

    return 0;
}

This makes the process not close until the console window has received a WM_QUIT message. I don't know how to do something similar in Delphi.

My need is not for exactly a message handler, but a lightweight "trick" to make the console application work like a GUI application using threads. So that, for example, two Indy TCP servers could be handled without the console application terminating the process.

How could this be accomplished?

I'm not sure I understand what you need to do, but maybe something like this

program Project1;

{$APPTYPE CONSOLE}

uses
  Forms,
  Unit1 in 'Unit1.pas' {DataModule1: TDataModule};

begin
  Application.Initialize;
  Application.CreateForm(TDataModule1, DataModule1);
  while not Application.Terminated do
    Application.ProcessMessages;
end.

gets you started? It is a console application, which will terminate when the console is closed. You could use the Indy components in the data module.

Edit:

The alternative without the Forms unit is:

program Project1;

{$APPTYPE CONSOLE}

uses
  Windows;

var
  Msg: TMsg;
begin
  while integer(GetMessage(Msg, 0, 0, 0)) <> 0 do begin
    TranslateMessage(Msg);
    DispatchMessage(Msg);
  end;
end.

I think however that this won't work with most Delphi components - I don't know about Indy, but if one of its units brings the Forms unit in anyway, then the first version is IMO preferable.