The overnight at ATL makes a great deal of sense, but it does mean that OP will be too early to check his bag for the second ticket. Thus, he must lug it to his hotel and then back to DL's domestic check-in the next day.

Although there are logistical hassles associated with exiting with checked bags from the E terminal, TSA will absolutely (as it must) escort you out of the secure area. That may add 5-10 minutes to your processing.

Alternatively, remember that if your bags are not particularly large, TSA does not care about size so long as the bags fit the machine's "mouth" and you may thus simply go through the connections path and then exit. That, of course, means reclearing a checkpoint, but you have an onwards BP so that is not an issue.