As others have said, transferring from one airline program to another is only possible in very limited circumstances, other than the ones mentioned above I am aware of:

1. If you have a Hilton account, you can transfer 10,000 VS miles into 15,000 HH points, which can then be transferred at a 10:1 loss ratio into certain airlines programs, of which Delta is one but SAS is not
2. Singapore Airlines and Virgin Australia have a unique program where you can transfer between programs, but at a 1:0.55 loss ratio each time
3. The IAG airlines using Avios allow you transfer between them, but that is limited to BA, Iberia, Aer Lingus and Qatar (Finnair uses Avios but I think does not allow points transfers)

If you fly mainly SAS, I would continue to credit there (including any DL flights), keep sending your Tesco points to VS, and be comfortable in the knowledge that DL points don't expire.