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Josephine is the only one I would actually consider using, though there is also a family connection for me. It's so lovely, classic, traditional, and it's definitely not overused here as I have never heard it on anyone under the age of fifty. It's rising in popularity in the U.S., but it's still not common here. It's a rare male-turned-female name that I actually like, as I can't stand Roberta, Georgina, Henrietta, Wilhelmina, etc.
Seraphine is simply lovely, but I would only consider using as a mn. As someone else said, it seems a little heavy (and maybe pretentious? like a dressed-up version of Sarah, even if it's not) for a fn.
Delphine is just what you said, dainty and cute. I see it more for a little girl than an adult. Yet it's classic enough that it would probably mature just fine. Very sweet and pretty, and if you like it, go for it. I certainly don't automatically think of Delphine LaLaurie, and it didn't occur to me until you mentioned it.