I don't have a Delta B.O.S.S., I have a Ridgid O.S.S. and I've noticed that you have to tighten the top nut really tight to expand the rubber inside the sand paper sleeve sometimes to hold it in place. I think it has something to do with how old it is or how much the sleeve has been used. Also it might depend on the brand of sandpaper used.
I assume you have tried more than one sandpaper sleeve so, my next step would be to warm the rubber plug up a bit. I don't mean a flame but, maybe aim a heat gun or hair dryer at it (with it off the machine) to expand it before installing the sand paper. Also, make sure the rubber plug is nice and clean. Wipe it down with some thinner, again, don't soak it just wipe it off a bit. Cold and sanding dust does strange things to tools and equipment sometimes.
Hope that helps.
Rog
P.S. Another thing that I forgot....are you using a washer under the top nut? If so, make sure that the inner diameter of the washer is just big enough to go over the shaft and the outer diameter is just a bit (1/4") smaller than the rubber plug to get good squish out of the rubber to tighten up the sandpaper sleeve.