You could save the bitmap to disk and call a command line program to convert. But that might not be possible depending on the situation.

We create large images in our app but decided to go with PNG instead of jpg. PNG is supported pretty much everywhere that jpg is and it doesn't have any licensing concerns. We use libpng in our C++ code.

http://www.libpng.org/pub/png/pngaptk.html

The above link shows PNG support available in Delphi in a number of different ways - including a libpng port.

-Dylan