Delphi is not officially supported environment for DynamiCube, however this article should help you to install control in the Tool Palette.

Borland Delphi 2005 and 2006 include a component import wizard for installing ActiveX controls.
Unlike in earlier versions of Delphi where the use of this wizard was straightforward,
the new wizard is difficult to use and does not result in the control being available in the Tool Palette
unless a very strict procedure is followed. This procedure does not appear to be documented in the Delphi help.

The procedure shows step by step how to install the DynamiCube3 control.
However, the procedure should be applicable to any ActiveX control.

Step 1: Create a new package for the component
From the menu select 'File / Package - Delphi for Win32'.
Rename and save the package using 'File / Save Project As'.

Step 2: Import the component
From the menu select 'Component / Import Component'.
Choose the option 'Import ActiveX Control' and click Next.
A list of registered ActiveX controls is now displayed.
Select the DynamiCube3 (or any other required control) and click Next.
Click Next again. The palette page can be changed if required which will determine
the Category in the Tool Palette that is used (default is "ActiveX").
Select 'Add unit to [package name] project' and click Finish.

Step 3: Install the package
In the Project Manager pane, right-mouse-click on the package name and select Install.
Delphi should now display a message confirming that the package is installed.
Click OK. Save the package using 'File / Save'.

Step 4: Check the ActiveX control is installed
Open an existing application, or start a new one, so that the Tool Palette is displayed.
The newly installed DynamiCube3 control should be available for use in the ActiveX
(or other category you selected) Category (TDCube) and you can drag it
on your form.

Thanks to http://www.ciansoft.com for initial research.