"It's going to be an awesome week - we're in good form and looking forward to it," said Denmark midfielder Delaney, who set up club captain Marco Reus for their winning goal in Saturday's hard-earned 1-0 win at Wolfsburg.
It was Dortmund's 15th straight match without defeat in all competitions under head coach Lucien Favre, bettering the previous record of Thomas Tuchel, who led Dortmund to 14 games without defeat three years ago.
"I didn't know about that," admitted Favre when asked about the new club record, ahead of a week in which he faces his biggest challenges since he took charge in July.
The Germans travel to Atletico's Wanda Metropolitano stadium for Tuesday's Champions League rematch having thrashed Diego Simeone's side 4-0 in Dortmund a fortnight ago.
Another win over the Spaniards will guarantee Dortmund a place in the last 16 of the Champions League.
Then comes Saturday's crunch visit defending Bundesliga champions Bayern, who trail leaders Dortmund by four points and again flattered to deceive in their 1-1 draw at home to Freiburg on Saturday.
A win at the weekend would put clear daylight between Dortmund and Bayern, who are chasing a seventh straight Bundesliga title.
"Bayern's result (on Saturday) will certainly help put them under even more pressure," said retired former Dortmund captain Sebastian Kehl, looking past Atletico and towards next weekend.
However, Dortmund's focus is firmly on Madrid.
"They (Atletico) will go into the game with a lot of fighting spirit and try to avenge the 4-0 result," added Kehl.
Favre admitted that Dortmund "found it very difficult to find holes" in Wolfsburg's defence and that "there was danger until the end".
The gritty win at Wolfsburg also comes after they needed a Reus penalty -- in the last second of extra-time -- to snatch a 3-2 win over second division Union Berlin in the German Cup last Wednesday.
Nevertheless, Dortmund will fly to Madrid with high on confidence as they chase a win to put them in the knock-out stages of the Champions League.
English teenager Jadon Sancho has scored five goals and made eight assists this season, impressing with his displays from the left wing.
Reus is injury-free and in great form, having been involved in 16 goals in 15 games this season, scoring nine and setting up seven more.
"I have always said that when I am healthy, I can help the team," said the fleet-footed Reus, who was sidelined between May last year and January with torn knee ligaments.
On top of that, striker Paco Alcacer is back from a thigh injury having scored an incredible eight goals in just six games since joining on loan from Barcelona.