> Should I be calling MessageLoop or ProcessMessages?

Neither, Delphi windows services are message driven just like Windows 
applications.
Most of my windows services are actually dual GUI/service, with a simple GUI 
that
does not require any interaction when run as a service.  This makes testing 
vastly
easier, since the program can be run under the Delphi debugger and then 
installed as
a Windows service once it's working. 

Originally I wrote a simple service starter application that runs a standard 
Windows
application as a service (with a command argument) and waits for it to finish 
before
stopping, and sends a message if told to stop.  I still sell an application 
using
this technique after 18 years.   

The second generation used the SvCom environment from: 

http://www.aldynsoftware.com/

which creates a single application that can be run as a service or GUI, just 
drop
components on a form, jkust works, but it's commercial.

For new applications I use DD Service Application Framework written by one of 
the
ICS developers, but his web site seems to be down at the moment.  I think it's 
on
Code Central but search is useless and brings up thousands of results.

Angus

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