This is a list of my blog posts on using WinDBG with Delphi apps, mostly for my reference. Internally, I use a version of tds2dbg with some private modifications, but you should have reasonable results with the public version.
WinDBG and Delphi exceptions in x64
Locating Delphi exceptions in a live session or dump using WinDbg
Debugging a stalled Delphi process with Windbg and memory searches
Finding class instances in a Delphi process using WinDbg
More windbg tricks with Delphi – how to ignore specific exceptions (Jan 2016)
I also have some other posts that talk about WinDBG and/or Delphi which can be helpful for illustrative purposes:
Another partial malware diagnosis
Detecting the Citadel Trojan with an Application Failure
When characters go astray: diagnosing missing characters when printing with IE9
WaitForSingleObject. Why you should never use it.
IE11, Windbg, JavaScript = joy