Set MyCastleControl.Container.Requirements.MultiSampling to a value > 1 to have anti-aliasing. Try values like 2, 4 – these should be supported by most modern GPUs.
Here are some helpful screenshots – where to find it in Delphi, and a proof that it actually works 
I tested on our examples/delphi/vcl, our “3D” test there contains a perfect line to demonstrate this – it is visibly “jagged” without anti-aliasing.
