I had exactly the same problem with a LCD routine too.

If your delay is a subroutine, add a label such as "DELAY_TRAP" on (or just
before) your RETURN instruction.

Then from the BREAK SETTINGS menu option, select DELAY_TRAP (from the pull
down label list) as your break point. The break point will then have a tick
next to it if it is enabled.

Whenever you reach the delay loop during single step, just press F9 to run
through the delay.

Regards

Tony