Where do I put my C# delegate declaration, in a file of its own?

I tend to put each type in a separate code file. Doing so will help you navigate in Solution Explorer, though ReSharper rocks with "Go To File"

_{(source: jetbrains.com)}

and "Go To Type":

_{(source: jetbrains.com)}

I usually add it to the .cs file of the class which implements the delegate function (at the namespace level). If there are several of these, I put it in a separate file.

If I know for sure that only one class will implement the delegate function, I nest it in the implementing class.