I'm assuming that you're talking about the Delica 4, the latest generation of the Delica. I have the waved version and it does have some just barely noticeable vertical blade play, but I never notice it when cutting anything. Has it been like that since you got it? Have you made sure that the locking surfaces are clean and that there's no lint or anything caught in there? I wouldn't expect zero blade movement from a knife in the Delica's price range, but if it's moving around enough that you can really feel it when using the knife then I think there may be something wrong. I'd try using the canned compressed air that they sell for cleaning computer keyboards to blow any debris out of the knife and maybe give it a good cleaning with dish soap and hot water if there may be something sticky in there that won't just blow out. If you're comfortable doing so, you could take the knife apart and give it a real thorough cleaning. It's not too complicated, but getting it back together without damaging the FRN back-spacer/spring holder can be a bit tricky. Or, of course, you could just see about getting a replacement from whoever you bought it from or contact Spyderco customer service and see what they can do for you. It all depends on how much you like to tinker and how bad the blade play is and how much it bugs you. Good luck!
-Chris