Delphs can be difficult, if its not snails, its rotting. I would personally keep them in your un heated greenhouse but space them apart if they are in indivdual pots to allow air flow and dont keep the door shut all winter, all plants need a bit of ventilation if the airs damp and cold. Remove any dead or dying leaves asap and clean up the pots of weeds or pest such as snails or worms that can get into the pots by the drainage holes. Keep them watered, but drier is better than wet and water the soil trying not to splash the leaves which can cause milew.
Ive grown loads this year and pricked them into 2 inch plug trays and will be keeping them in the same conditions as ive written above as they are only thin stemmed and liable to rot off outside.
I wouldn't put them in the greenhouse just yet, alhough it depends on the weather. They may cope with cooler nights, but long frosts or snow may do some damage.

Anyone else know for sure ?