I found two possibilities, each with their pros and cons:
/1/ The font 'Marlett' has a gripper structure on the character position 'o' and 'p' (one for the light and one for the shadow part) --> simply paint this on the panel's canvas. Pro: Works with all widgetsets in which the Marlett font exists. Con: looks a bit old-fashioned...
/2/ The ThemeServices provide a themed element tsGripper, and you can invoke them to paint them. This works in all widgetsets which support this element (at least Win and gtk2 - did not test others). A problem is that we mix themed and custom painting here, and therefore this combination may not work with all color combinations. In Windows, for examples, the dotted gray gripper is hardly visible when the panel color is clSkyBlue.