I'm not a Sandman reader, even though I was a big comic book reader back then. I was mostly into superhero comics at the time and just never jumped in on Sandman or the other Vertigo titles. Thus, I am burdened by complete ignorance, or perhaps freed by it.
I just read #20 and listened to the podcast. Here's my completely baseless theory on Delight transforming into Delirium. I don't know if that ever gets explained or not.
Desire and Despair emerge at the Fall of Adam and Even in the Garden of Eden or immediately thereafter. Eve desires the knowledge of good and evil, after being tempted by Satan. Then after the Fall and ejection from the Garden, Eve and Adam learn despair, due to their separation from God.
Meanwhile, they can no longer delight in the abundance of the Garden, so they must invent agriculture, which leads to the development of fermentation and the discovery of other mind-altering substances like opium, replacing Delight with Delirium.