In setData, how do we specify delta on the fly?I read somewhere that “delta is very important in estimation set always to 1/252 for daily data”. Is it really the case?

“delta” is the distance between observations and it controls the unit of measure of the estimates. If your series has 252 observations per year (e.g. financial time series) and you want the estimates to be measured in years than you have to use delta=1/252 (meaning that between one observation and the other elapses 1/252 year).
If the index of your series is not a date (e.g. “20/01/2015”, “21/01/2015”, …) but a number (0.1, 0.2, 0.3, …), then “delta” is the numerical difference between observations (in this example 0.1; meaning that between two consecutive observations elapses 0.1). In this way, the unit of measure of your estimates will be coherent with the unit of measure of the index.
In yuimaGUI this is done automatically and you do not have to worry about “delta”: the unit of measure of the estimates are clearly specified when you get the estimates.