I want to create a control that:

1. chooses the return type of the delegate from a list of delegate types I made:
   "script_returns_int", "script_returns_boolean", "script_returns_string"

2. allows the user to create the script. (Or would a simple <controltype>script</controltype> work?)

Do you have a lot of experience with WinForms in C#?

I suspect that your best start would be looking at how the bindings for the existing control types work.
This would be a useful addition, because I believe the main reason nobody uses delegates is because the editor doesn't support them properly.