Delaney said the Villa players must be mindful of next week's return clash when they hit the pitch tonight.
"Because there is another leg, it will be hard to go out tonight and try to win that game straight away. You could end up putting yourself out of the second leg,'' he said.
"I think we'll be going there in a cautious way, trying to defend well and looking to nick a goal."
Villa manager David O'Leary is optimistic of having a clean bill of health after striker Darius Vassell and midfielder Gavin McCann resumed training yesterday.
Bolton manager Sam Allardyce confirmed that Nigerian playmaker Jay-Jay Okocha would lead the side out after delaying his departure to the African Nations Cup again.
Bolton v Aston Villa, Reebok Stadium, tonight, 8pm (Live on Sky Sports 2)