Here are some ideas that spring to mind when making a transition from langauge A to language B:
(Pet Projects) - Have you got any pet projects you've done in Delphi? Rewrite them in Java and you'll learn the various APIs and language features in Java to make your projects come together. For example, Delphi has the concept of properties, but java is still behind with it's setX and getX JavaBeans convention, so you'll pick up on that. I'd also pay attention to the inheritence model used in Java, Delphi has the concept of private and strict private, which Java doesn't; I never really was fond of that feature...
I graduated from University as a Java developer and given the state of the market there was nothing but Delphi (this was in 2006) for my skill level, so I wrote a multiplayer Tetris game. This taught me the UI components and the network libraries. I then looked at some demo code in Delphi and refactored it to make it look more like Delphi code, taking advantage of it's features; properties for example.
(Open Source) - Pay source forge a visit. Look for some open source projects that are of interest to you, study the code and start contributing bug fixes and new features. This is a good winner for your resume and gives you something to talk about in interviews :)
I've went from Java to Delphi to Smalltalk and back to Java. In the beginning, I thought it was killing my resume, but if nothing else, it's toughened me up, every language teaches you something.
As a final piece of advice, I'd invest in the following books:
The Pragmatic Programmer
The Passionate Programmer