I actually work my delts on leg day also. Of course after working legs you're just not going to have the energy in my opinion to work delts at their fullest capacity. I was also working delts after legs, but just didn't have enough energy to get a good workout because my leg routine is intense. What I started doing is working my delts first, then legs. I found that working my delts first doesn't drain a lot of energy out of me and that I can still work my legs at full intensity.
Anything worth having is never easy to achieve.