Usually you can just send in your stubs, etc. to the address listed on the website. I'm not familiar with DL's policy on this, but I've sent my US Airways stubs into the normal United address and they credited just fine.

I would note that it is much easier and faster if you associate the number in advance. It can take a long time (weeks) to credit via mail and in the meantime, I'm always worried about the mail getting lost. Also, as far as I can tell, it seems impossible for most FF programs to transfer points once they're in a program to another related program, so make sure you're consistent about which program you're accumulating.