That should work. You don't say where you call it from, but I call mine in the OnBeforePost handler.
My function looks like this:
function SetTimeout(const HTTPReqResp: THTTPReqResp; Data: Pointer; NumSecs : integer) : boolean;
var
TimeOut: Integer;
begin
// Sets the receive timeout. i.e. how long to wait to 'receive' the response
TimeOut := (NumSecs * 1000);
try
InternetSetOption(Data, INTERNET_OPTION_RECEIVE_TIMEOUT, Pointer(@TimeOut), SizeOf(TimeOut));
InternetSetOption(Data, INTERNET_OPTION_SEND_TIMEOUT, Pointer(@TimeOut), SizeOf(TimeOut));
except on E:Exception do
raise Exception.Create(Format('Unhandled Exception:[%s] while setting timeout to [%d] - ',[E.ClassName, TimeOut, e.Message]));
end;
end;