Of the classes in your project TForm and TLabel come with a canvas you can use. (Buttons and edits are drawn by the OS in the LCL).
To experiment you would use the OnPaint event of your form, and use its Canvas methods.
By using the form's OnPaint your drawing will be 'persistent', i.e. it will be redrawn if the form is covered by another window, or the form is resized. This redrawing (if required) is all done for you by the LCL.
You can of course draw on a canvas outside of OnPaint (well, not on a Mac), but once that painting is covered or the form resized, your painting is lost. You can also draw on a TLabel's Canvas, but generally you have a much smaller region to work with on a TLabel, so it is less useful for experimenting with.