Is there a component (preferably free) to help me draw Message Sequence Charts?
If not, how would you go about it?

Update: btw, I should have made it clear am not trying to create an app to allow users to manually draw MSCs, otherwise I would simply use TMS Diagram Studio (see my “answer” below).
What I want to do is to auto-generate MSCs from trace logs. So, I will write some code to parse the log file and then would like a components to allow me to define columns and then add arrows to show the message sequence of the trace log.
There is UML in some Delphi versions, see Practical UML: A Hands-On Introduction for Developers.
A standalone tool like this may fit your needs : EventStudio. It let’s you model complex interactions in a modeling language.
Anders Melanders TStateMachine is a Delphi component which can be used to describe and simulate complex state changes.
Boian Mitov’s OpenWireEditor can be integrated into the Delphi IDE. Maybe not exactly what you are looking for, but close.
Update :
JVCL (Project Jedi) has a component TJvDiagramShape, which has the primitives for drawing modeling diagrams.
ModelMakerTools has a Delphi interface, and is similar to TMS Diagram Studio.