How can I Create folders recursively in Delphi?

Use

ForceDirectories('C:\TestFolder\Another\AndAnother');

(This is a standard RTL function, found in SysUtils.pas. Hence you do not need to create your own function, even though that wouldn't have been difficult.)

SysUtils is obsolete now and ForceDirectories is not UNC aware!

There is a new library in since Delphi XE7 (or even earlyer?) called IOUtils.
IOUtils is cross-platform compatible and UNC aware.

function ForceDirectories(FullPath: string): Boolean;   // Works with UNC paths
begin
  TDirectory.CreateDirectory(FullPath);
  Result:= DirectoryExists(FullPath);
end;

Note: The function is from Delphi LightSaber library. There are several other similar I/O functions there (like ListFilesOf(Folder)).