Not really an answer, but I'm running out of space in the comments.
MySQL has a function called load data infile
see: http://dev.mysql.com/doc/refman/5.1/en/load-data.html
You can use that to time the fastest time possible to insert data. This will give you a baseline for the insert time into MySQL and allow you to pinpoint whether the delay is in MySQL or Delphi. If you have the source for TMyTable, you can use a profiler as well.
Another option is to download ZEOS data access components at:
http://sourceforge.net/projects/zeoslib/
If there's is some snafu in the component you're using a change of toolset might fix the problem. (Devart's components are usually excellent though).
On the MySQL side you can disable index updates before the bulk-insert and enable the index after. If you have a lot of inserts that usually works out faster.
See: https://stackoverflow.com/a/9524988/650492
SET autocommit=0;
SET unique_checks=0;
SET foreign_key_checks=0;
your insert here
SET autocommit=1;
SET unique_checks=1;
SET foreign_key_checks=1;