Remember that this way Destroy method may be called twice: first by Release method and then as VFP event. This can potentially cause errors or just slower form unload.
I recommend you to add Destroying property to the form and use it to reject second call to Destroy method:

* In Form.Destroy method:
IF This.Destroying THEN
  RETURN
ENDIF
This.Destroying = .T.
...
* Destroy method code