Being able to blend in delay like Steve does is definitely a fun thing to do.
If you have a delay pedal with an expression pedal (or MIDI) input, you can often set the expression pedal to control the delay level. If not, you can go the mixer route that Steve does.
Split your signal (from the FX send), send one feed to a parallel mixer, send the other to a delay pedal connected in series to a 25k volume pedal. Set the delay for 100% wet (or "kill dry") so it doesn't pass any unaffected signal, then feed that output to another input on the mixer. Output of the mixer goes back to the FX return on the amp.
Steve has two different delays, but you could do both a long and short at the same time with a pedal that does dual delays.
I've done it both ways. Given that most delays allow for control via an expression pedal, I'd go that route as it's easier.