If they are not that big I would probably pot them on into bigger pots and over winter them and plant out in the spring. They probably won't flower now as that time has passed. However if you can keep them going then next year you should have a good show.
If they are quite big then yes, go for it and keep them well watered at first.
The other thing to think about is that delphiniums are prone to being eaten by slugs and snails so may need protecting.

Thanks pam..they are in 9cm pot now...if I keep them in these through the winter can I still leave them outside or bring them in?

The plants should be hardy so keep them outside, in a cold frame or a sheltered corner, and remember to water!

ok Pam..thanks again :)