The delay will have little to no affect on the rate of the gyro. If you don't have a gain on your gyro, then you can only adjust it in the Tx. Go into your gyro menu and lower the number to reduce the wag. What I mean is, your gyro rate should be about 60 to 80 (anything above 50 is HH mode, and that is what you want it to be in). If you are at 72, then lower the rate to 71 and try it. If it still wags, then go to 70 and so on until it is solid. Then, when you get a little more experience under your belt, you will want to set the gyro up on the F-Mode switch so that you can lower the rate in idle up. It will be much more sensitive when the head is spinning faster.
Also, if you are running the HK401b, I have a word of caution. I have had two of them, and one of them had a constant wag. When it was sitting on the table and not being moved, the servo was twitching back and forth. This was a gyro issue, and there was nothing that I could do. If yours is not doing that, then you need to mod it for better performance. Do a search for "Hot Glue Mod" and do it to that gyro (only if it's a 401b!). That will make it much more stable.
Let us know if this helps you out. Be sure to check out some of my videos on setting up the gyro and tail. It will help a lot since it has to do with the DX6i.