I think both names are beautiful. I would go with Seraphine because I love the angelic connection. Delphine has the dolphin meaning backing it, which isn't necessarily a bad thing, but I much prefer the meaning of Seraphine.
I like Seraphine better. For no particular reason other than I usually dislike D girl names. There are a few exceptions, but...*shrug* There it is.And I know you like them for the -ph- but have you thought of Melusine? I think it's pretty.