All I want to do is to not let mouse cursor to be outside of my window region. It is done now via subsequent calls to:

PtGetAbsPosition(window, &wx, &wy);
[... mouse coordinates checks ...]
if (moved)
{
   PhMoveCursorAbs(PhInputGroup(NULL), oldwx, oldwy);
}

Mouse cursor shape is disabled, while cursor is moved over my window region. The main problem in this: if I drag mouse 
too fast using sensitive optical mouse (>=1600dpi) cursor appears outside of my window for a moment and then warped back
 to center of my window. This idea works, but it looks ugly when mouse cursor jumps around window.

Any idea how to do mouse grab more aesthetically ?