Seeing as we're already in the middle of "this weekend" I might be too late, but I'll offer anyways.

First, is the link a demo of the band? If not, what's the band? 2 guitars? guitar and keys?
Second, if it all has to be recorded live (and quickly?), do you have a ton of time to mix in the delay at the guitarists' discretion?

Barring answers to those questions, go with your gut.

There are exceptions, of course, but to me a guitarist's pedals and effects are a part of his/her sound. Record it the way it is made. The one exception to this is volume. I will try to get a loud guitarist to turn down. Other than that I usually go with the sound they have worked on.

I say it depends on how important the delay is to the song. If it's a slap-back delay or something to add texture, I'd track it in through the amp.

When the delay is meant to be precise and on beat is where you might want to do it as post effects. You can always use the same pedal afterwards as an aux return. Same with stereo pedals; if there aren't two amps involved, you might run it as an aux and record it in while tracking. That way the guitarist hears it the way he's used to hearing it, but you've got it separated out in case you need to scrap it later.

Guideline: don't make the guitarist feel disoriented by removing his own effects.

(end opinion)

well I recorded them with efx and it worked out well. I made sure there was a fair amount of dry in the guitar though, maybe I post them later if it's ok with the band

nothing sounds better than great guitar pedals thru a great amp. there is something about the interaction of the pickup to the pedal to the amp, that you will never get with an outboard or a plugin (notice i put the outboard gear first) even old batteries that are carbon and not alkaline make a pedal sound better.
track the guitarist with HIS GEAR.....