Houston (4-2) trailed 45-43 at halftime, but hit six of its first eight shots from the field in the third quarter to take control with a 17-4 run.
Delfino and Chandler Parsons each made four 3-pointers.
Ryan Anderson led New Orleans (3-4) with 23 points, hitting 5 of 7 3-pointers. No. 1 overall draft pick Anthony Davis had 13 points, eight rebounds and three blocked shots, and Greivis Vasquez scored 11 points.
Both teams close out the preseason Friday night. New Orleans will be at Miami, and Houston at Orlando.
Although there was no blockbuster deal to be made with his many picks, Danny Ainge said he was really excited about the players he added.
Have the Thunder closed the gap on the Warriors as the best team in the West? Kevin Pelton looks at OKC's upside after the Serge Ibaka trade.
Although each comes with concerns, Chinanu Onuaku and Zhou Qi provide the Rockets with depth at the center spot.