Hmm. The only set on Delphox I've found to be even remotely effective is a semi bulky Sub Calm-mind set with Mystical Fire and Psyshock. I've tried giving it some other sets, but Delphox has bad coverage and not enough power to muscle through things with offensive sets, and Calm Mind sets without Substitute aren't as effective because they can't stay in for very long due to status (Delphox needs more than one turn to boost for a sweep).
It isn't an end-all set, but Mystical fire has useful synergy with Calm Mind, so you can hit things like Starmie or even Greninja on the switch and actually have a chance of beating them (or at least taking a hit or two) depending on the circumstances. The temporary popularity in the current metagame of things like Sylveon and Goodra make it easier to set up as well.
Also, Blaze is much better than Magician on a Calm Mind set, because it really wants leftovers from the beginning, and Substitute can power up Magical Fire at times. It also loves sticky web support, but then again, what sweeper doesn't?