Does using a delegate create garbage
In the desktop environment garbage is effectively free. There what you want to worry about is how much non-garbage you are producing. Remember how the garbage collector works: it first marks all known objects, then it clears the mark on all live objects and compacts the live objects. The expensive step there is "unmark the live objects". Destroying the garbage is cheap; it's identifying the live objects that is expensive, and that cost depends on the number of live objects you have (and the complexity of their reference topology), not on the number of dead objects you have.
However, on XBOX and other compact frameworks, the garbage collector runs quite frequently and runs more often when new allocations are created, so yes, you are correct to worry about creating garbage too. You want to both keep the live set small (so as to make a collection cheap) and not make new allocations (because that triggers collections.)
Creating a delegate does allocate memory, but calling one is nothing more than calling a method named Invoke on a class. A delegate is not much more than a class with a method named Invoke that happens to immediately call another method when it is called.
Regardless, if you have a problem with memory performance then the right thing to do is to get out the memory profiler and use it to analyze your program. Casting about at random wondering if this or that happens to allocate memory is like trying to weed your garden with nail scissors; it takes a lot of time and doesn't actually accomplish your goals. Use a profiler to analyze your performance and see where the problems are, and then fix them.
A delegate is itself an object, so if you create a delegate, perhaps for an anonymous method, and give this to some other method to execute, and don't store the delegate for future reference, then yes, that will produce garbage.
For instance, this:
collection.ForEach(delegate(T item)
{
// do something with item
});
In this case, a new delegate object is created, but beyond the call to ForEach it is not referenced, and thus eligible for garbage collection.
However, calling delegates does by itself not produce garbage, any more so than calling any other method of the same type would. For instance, if you call a delegate that takes an Object parameter, passing in an Int32 value, this value will be boxed, but that would happen if you called a normal method the same way as well.
So using delegates should be fine, but excessive creation of delegate objects will be a problem.
Edit: A good article on memory management for Xbox and XNA is here: Managed Code Performance on Xbox 360 for XNA: Part 2 - GC and Tools. Pay attention to this quote:
So how does one control GC latency? Like NetCF for devices, the Xbox GC is non-generational. That means every collection is a full collection on the managed heap. Thus, we find that GC latency is approximately linear to the number of live objects… then add the cost of heap compaction on to that. Our benchmarks show that the difference between deep object hierarchies vs. shallow ones is negligible, so it’s mostly the number of objects that matter. Small objects also tend to be a somewhat cheaper to deal with than big objects.
As you can see, try to avoid creating lots of unnecessary objects, and you should fare better.