Hi Benji
I can't tell you about The Delicados, but Heigh-Ho was a label run by Hyman (Hy) Fenster. His name may be credited ( production, etc) on your record.
His other lable was Gold.
He was assocaited with Irving Berlin Music for 25 yrs or so, and died in Sept 1971.
Maybe it's a lead you could follow? good luck.