Is it worth setting up a solo baker if one only has 10k XTZ or is it better to delegate to a larger baker?
Whether it is a good idea to solo-bake with 10k XTZ depends on your goals and what you are willing to contribute.
If it is simply an experiment and you would like to get the experience and fun out of running a baker then go ahead. If this baking operation is critical towards your livelyhood and you cannot tolerate down-time or potential safety faults I would reconsider it. If the latter is true, you should know that running a secure and highly available bakery is a lot of work. For example, ask yourself what happens when you are on a 3 week holiday and after the first 5 days your bakery crashes. Do you fly back to fix it, simply leave it, or did it just ruin your entire holiday. Or whether you are willing to get up at 03:00 in order to fix a hardware failure.
My point is mostly that there are considerations beyond whether you will receive blocks that you should think about.
There is a calculator to compare delegation-service rewards:
And a pretty good site that shows the solo baking rewards:
Or the good old Tezzigator Baking Sheet: (This should show you, which variables are important for the calculation)