What about ‘Information Rights Management’ (IRM)? I’m not sure how it works with Delegates, but it is suppose to allow security on individual e-mail.
Delegate permission is controlled at the folder level, so if you put all your personal messages in a personal sub-folder of the in-box you can deny permission on that folder. You can also mark sent items as private and your delegate will not see them if the Delegate setting for View Private messages is unchecked in Delegate Options.
You will also need to set up rules so that all emails from people you do not want your delegate to see will go to the folder to which you have restricted access. Anything received in the inbox which has not been moved to that folder your delegate will be able to see until you move it.
How about using a personal email account on Gmail or Yahoo instead?