I'm trying this right now:
Delphox@Red Card/Leftovers
Magician
252 HP/ 252 Spe/ 4 SpD
-Wish
-Substitute/Calm Mind/Psyshock
-Will-o-Wisp
-Mystical Fire
Annoying little thing, for sure. A fast Will-o-Wisp is a godsend (there's not many fast things able to this, especially with that many resistances and good bulk (Mismagius is the only thing i can think of... not to mention Prankster Sableye), with Mystical Fire annoying special attacker to no end, while you can try to stay healthy with Wish (and supporting teammates is always a nice thing). Red Card because i couldn't think of anything better to use with Magician... and it works quite well, since this Delphox is made to annoy the opponent by decreasing it's attacks, therefore raising the chances to survive a hit and activating Red Card, while you can steal a item later. Feel free to just slap Leftovers on it. Delphox may attract Knock Off users, so depending on the situation it could survive a burned one (yeah, speed here helps a lot) and still steal a item. Situational, but hey, Leftovers does help without Magician anyway.
Walled by anything with Flash Fire (unless you go for Psyshock on the second slot), and has a hard time against any fire poke since they can't be burned (if you don't have Calm Mind).
Works best with a bulky water/ bulky Dragon baking it up. Spikes/Stealth Rock support is very good, since this can force switches out with some ease.