When passing a delegate to the a NSUrlConnection object like so:
[[NSURLConnection alloc] initWithRequest:request delegate:handler];
It will depend on what object handler is and how you use it. For example, I usually use self as my delegate:
[[NSURLConnection alloc] initWithRequest:request delegate:self];
I don't need to call release on self because delegates are not retained and self will be released by another object.
If handler is a new object, then you will have to release it (and connectionDidFinishLoading: should be ok, unless you need to use the handler object for something else).
Are you familiar with the rules for memory management in Cocoa?
Can you give a better picture of what object handler is and how you're using it?