It's really amusing that Delphinium grandiflorum is being sold as a "half-hardy annual"! I have to assume this is meant to cover off the difficulty there seems to be in some warm/humid climates in growing delphiniums in general?
Delphinium grandiflorum is hardy in inland continental climates (i.e. cold, dry) through zone 2! If the problem with growing it relates to wet, humid climates and winter wet, then mulching may be the worst advice possible.