Yes and no.  The thing to remember about delegates is they are in themselves
classes that inherit from System.Delegate.  Since nested classes are allowed
in classes you my declare a delegate in a class.  For example the following
is legal:

public class MyClass
{
  public delegate void MyDelegate();
}

To reference that delegate outside of MyClass you would write the following:

MyClass.MyDelegate myDel;

Since a delegate is a type that inherits from delegate you cannot declare a
delegate within an interface, because you cannot declare nested types in an
interface.  That being said I tend to declare my delegates outside of a class
and inside a namespace, because like I said delegates really are just classes.