If I am a new user who wants to store my XTZ using a hardware wallet (like Ledger or Trezor T), what are the steps to set myself up with delegating those XTZ ?
First of all, when storing tezos using an HSM one still needs to connect to a node in order to perform operations like transactions or delegation. For this there is the choice between connecting to a local full node (see here or there) or wallet services that offer support for HSM, like Tezbox, Galleon (as of now Kukai does not support HSM I believe).
One can find a number of guides to help new Tezos holder get setup properly when they use HSM. The following articles describe the steps involved: