Which type of delphiniums do you mean? The chinese delphiniums (delphinium grandiflorum syn. chinense) such as 'Butterfly Blue' do reseed for me in my zone 5 garden in the Denver Colorado area. I've never had the Magic Fountain Mix delphiniums reseed in my gardens but the flowers are less prolific than the chinese delphiniums. Perhaps they reseed in other gardens? I know that you can wintersow both of these kinds of delphiniums so perhaps they need a bit of cold to germinate. I successfully wintersowed the grandiflorum (syn. chinense), elatum 'Black Knight' and Magic Fountain varieties this year. If you haven't tried wintersowing yet, you should check it out.
As far as naturalizing... they seem to be a favorite snack for bunnies and pocket gophers in my garden so they are not as prolific as I would like, which is why I also wintersow them. I have noticed that the full size plants I buy never do as well being transplanted into my alkaline clay soil as the ones that reseed themselves. The transplants always have yellowed foliage and never seem to green up. They also dont give me a second rush of blooms like the reseeded ones do. There is also a wide range of results in height and color from the seed that I've collected and purchased, but all of them are beautiful.
I'd love to buy delphiniums in six packs, I've never seen them available that way in my area nurseries.
Wow, I didnt mean to write an essay but I love delphiniums! I hope this info helps. :)

Here is a link that might be useful: Wintersowing Forum

Thanks for the great information.I have lost the labels over the last three years, but I do know I have Black Night, because I purchased it as a gallon plant. SPECTACULAR! I think my others are pacific giants and magic fountains,which are about a foot shorter.

I have lots of magic fountains and for 5 years they have never reseeded.

I did start some pacific giants by seed, and that worked well, but it didn't self-seed.

I've had seedlings from my Pacific Giants in my zone 4 garden.