DL sounds like the way to go for your airline, based on your travel to ATL. It will be more convenient, but you'll earn fewer miles/segments with fewer connections.

But just because you use DL as your airline, that doesn't automatically mean you should use the DL AMEX as your credit card. Some hotel programs, and some non-cash reward programs - Citi Thank you, SPG Amex, etc., may be better for your needs. Remember, DL Skysaver and Skyteam tickets in general are not all that easy to redeem.

As for your stranded AZ miles, I don't know of a way to feed them to your DL account, and even if you could there'd probably be significant devaluation. Depending on some of the rules, maybe you can use AZ miles to upgrade a paid flight while accruing the miles to DL? Otherwise, you'll probably be looking at converting them to some non-travel use. Check the AZ website for program-specific options.