A quick double check, since it is easy to overlook, but you've remembered to lift UP on the ISO dial before trying to turn it, right? ISO selectors on film cameras typically have safeties to avoid easily changing their settings, as there is little reason to swap that setting mid roll.
Delta 3200 is a bit of a unique film in that it kind of departs from typical ISO ratings, and was formulated to be pretty tolerant with a good latitude on how you expose and develop it. I've shot a bit with it, and read a fair bit more about it, and the 'General wisdom' on the internet is that it is more like a ISO 1000 film, give or take depending on who you ask, that pushes well enough to use at 3200 without issue, and there are a fair number online who will push it to 6400 or even higher for some interesting results.
If you have not yet taken any exposures on the roll, then shooting and developing it as if it were 800 film would not be likely to give you unwelcome results, and it is something I've done a few times when I didn't have a 400 film on hand. (You could also shoot it straight as a 400 speed film, but I've not done that personally so far and can't comment on any possible issues.) If you can't adjust the selector, then that would be opening the aperture up one extra stop, or exposing for one stop longer than the meter would indicate for 400.
Canon EOS 7D | EF 28 f/1.8 | EF 85 f/1.8 | EF 70-200 f/4L | EF-S 17-55 | Sigma 150-500