In order to build a Android Application with sgcWebSockets library you must follow the steps from Embarcadero website to build an Android Application.
Creating an Android App
http://docwiki.embarcadero.com/RADStudio/Sydney/en/Creating_an_Android_App
Project Deployment
If your project requires some libraries, don't forget to include in the menu Project / Deployment. Set Remote Path to ".\assets\internal"

Read more about How Configure openSSL Android.