As I mentioned a few posts back, Delphi XE didn't deal with COM very well at all. The support was so bad, that I didn't make any documents about it and ArcObjects. However, since XE 2 (up to, and including, XE 6), COM and ActiveX support in Delphi has been really good. There are two reasons I haven't updated this document in those years: 1) a lack of time on my part and 2) the instructions are pretty much the same for those versions.
I don't know if and how my Delphi/ArcObjects documents are available on other sites, but I've shared this document with everyone and everyone on this site should be able to download it. Maybe you have to log in to ESRI or something, but the registration's free.
I don't know where ArcGIS Desktop is going in terms of COM and ActiveX support. Since the "VBA" help has stopped being updated, my guess is that ESRI will stop (or has stopped) supporting COM connectivity and supports .NET development more officially. Delphi and .NET only go together with Oxygene (which has another name now) and I don't think I'll go down that path.
"Roj"