We fly Delta constantly. We check at the gate as well.
As stated, when you get there, ask at the GATE desk for a claim ticket. They'll give you a pink ticket to attach to the stroller. Take the stroller down the walkway to the plane and when you get to the door of the plane, collapse down the stroller (if you haven't already) and leave it in the area just outside the plane. Someone will come up and grab all of them and take them to the baggage hold. If you are at an airport where you walk out on the tarmac (usually a smaller airport) to board the plane, there will usually be someone waiting at the plane to take the stroller from you or there will be a cart for you to put it on.
When you get to MCO, as you leave the plane, the stroller will be right there waiting. You may need to wait a minute depending on how quickly you get off the plane, but they'll bring it right there for you.
If your flight has multiple legs, meaning you have to stop and switch to another flight, you will have to do the gate check for each leg. It won't go through to the next plane. This is nice as then you'll have the stroller in the airport when moving from gate to gate.
