Encourage your candidate to ask others for 360º feedback regarding his behavior when delegating. What goes well when he delegates and what could be improved? Discuss the results with the candidate.
Make a list of pros and cons of delegating tasks for the candidate himself and for others, e.g. colleagues or the organization, together with your candidate.
Find a task for your candidate to delegate. You can do so by asking the following questions: Which tasks could he easily delegate? To whom? Why to this person? What would be the maximum risks?
Investigate with your candidate what is keeping him from delegating certain tasks. Ask what he is afraid of when he has to delegate. Ask further questions and put hindrances up for discussion.
If the person agrees, join him in a delegation interview and provide feedback afterwards. If the person does the interview on his own ask him to report how it went and what he could improve.