Conventional wisdom indicates that Delay should be the last effect in the loop, with the possible exception of reverb. This means that if you are using the pedal between the guitar and amp input, you should have it last in the chain. Pretty simple, and there are many articles written about how to set up an effects loop / signal path.

However, if you are going to be using the channel switching you would be best served by using the FX Send and Return to ensure you get similar application of the effect to all channels.

One thing to consider... if you have a second output on the pedal then you can send the delay signal to a second amp, if you have one. This creates a cleaner signal for both the original guitar signal and the delayed signal. Brian May is a master of this technique.

Finally, there is no substitute for your own ears. Experimentation is often a better teacher than opinions. Read the manual to understand the use, research to gather information, then plug it all in and give it a go. Just keep volumes low so you don't risk damage to speakers until you have a sound you like.

Good luck! Cheers.

There are no hard rules here, but consider starting with the delay in the Series/Parallell loop. Most pedals are designed to accept a weaker, guitar level input, and this loop offers the option of two signal strengths via the db button associated with the Series/Parallell loop.