Houston (4-2) trailed 45-43 at halftime, but hit six of its first eight shots from the field in the third quarter to take control with a 17-4 run.
Delfino and Chandler Parsons each made four 3-pointers.
Ryan Anderson led New Orleans (3-4) with 23 points, hitting 5 of 7 3-pointers. No. 1 overall draft pick Anthony Davis had 13 points, eight rebounds and three blocked shots, and Greivis Vasquez scored 11 points.
Both teams close out the preseason Friday night. New Orleans will be at Miami, and Houston at Orlando.