Do I need to allocate memory when performing a Delphi string copy?

I've a function which posts a Windows message to another form in my application. It looks something like this:

// Note:  PThreadMessage = ^TThreadMessage; TThreadMessage = String;

function PostMyMessage( aStr : string );
var
  gMsgPtr : PThreadMessage;
  gStrLen : Integer;
begin
  New(gMsgPtr);
  gStrLen := StrLen(PWideChar(aMsg));
  gMsgPtr^ := Copy(aMsg, 0, gStrLen);
  PostMessage(ParentHandle, WM_LOGFILE, aLevel, Integer(gMsgPtr));

  // Prevent Delphi from freeing this memory before consumed.
  LParam(gMsgPtr) := 0;
end;