Why don’t you call Plain White T’s and ask them directly? Just kidding.
In fact, both of the variations you presented are not technically correct.
Let me explain the famous “hey there delilah” meaning in terms of punctuation.
Firstly, the word Delilah in the sentence is what scientists call vocative. It indicates a person to whom this whole message is addressed.
So, after some investigation we have “Hey there, Delilah”.
And it won’t just be the case for this particular sentence. When you can clearly see that the sentence targets the person, comma is necessary there. It can be a name or something less distinctive, such as “old man”.
Now onto the second piece. Or rather the whole picture. If you read it carefully, it will become obvious that the sentence consists of two smaller ones that could exist separately.
“Hey there, Delilah! Don’t you worry about the distance. “
You can split those two parts, or combine them with a comma.
My recommendation would be a comma before and after “Delilah”.