I admit that I have almost none experience of unittesting. I did a try with DUnit a while ago but gave up because there was so many dependencies between classes in my applicatio
Writing unit tests for legacy code usually requires a lot of refactoring. Excellent book that covers this is Michael Feather's "Working Effectively with Legacy Code"
One additional suggestion: use a unit test coverage tool to indicate your progress in this work. I'm not sure about what the good coverage tools for Delphi code are though. I guess this would be a different question/topic.
Working Effectively with Legacy Code