All events have aSocket: TLSocket parameter.
So for example if you accept a new connection from a client, you get OnAccept(aSocket: TLSocket) called (if you assigned the event).
You can store this aSocket to a list (or whatever you need) and you can also use aSocket.UserData to store your own information "to" a socket.
When sending back, use TLTCP.SendMessage('what', Socket); where Socket is the TLSocket belonging the connected client you need.
How to store and identify these sockets is up to you and your needs.