First, delegates do not "belong" to anybody, even though the popular press often talks about them that way. Each delegate is a real human being who is free to decide for herself at every step of the process which candidate she will support.
In Iowa, for instance, Fred Thompson received 3 delegates (some sources say as many as 5) during the general caucus. What that means is that on January 3 the Republican Party choose 3 of the people who claimed to be Thompson supporters. These delegates were chosen to go to the Republican Party's county conventions on March 8. Had Thompson stayed in the race, it was presumed that these 3 individuals would continue to support him at the county level. However, they were always free not to do so. If he fell out of favor with the party or even with any of the individual delegates pledged to him, the delegates would be free to support someone else on March 8. With him dropping out, these 3 individuals will have to make a choice at their county conventions. It is possible, but very unlikely, that any of these delegates might not like any of the other Republican candidates and so will cast a vote for Fred just to make a statement. Much more likely is that these individuals will decide what it was about Fred that earned him their perosnal support and the support of all the voters each of these delgates symbolicly represents. With that judgment made they will then have to decide which of the Republican candidates left on the balot most closely approximates those characteristics; then they pledge their suppoprt to that candidate. The process repeats itself at the district level caucus on April 19 and then again at the state Republican convention on June 14.
He also earned 3 delegates in Wyoming. The process is simplified here because there are no county and district meetings. These deleagtes will have until the state-wide Republican convention on May 31 to choose how to pledge their support.
The 2 delegates (or 3 according to some sources) that he earned in Nevada go through a similar process culminating April 26.
It is complicated but this process of having individuals exercise their free will is at the heart of our democracy. Remeber that even when the Electoral College convenes it is comprised of individuals who are free to cast their vote aoccording to their own conscience.