How are you fishing for them? We pull in Dolphin all the time in the Gulf. Trolling to get the bulls and flatlining for chicken dolphin.
We've only ever caught them trolling just on the deep side of the big drop-offs where it goes from 0 to 3000ft in a mile or so and the gutters between reefs next to the drop-off. If you've got good google-fu, look up Ribbon #1 reef and Lena reef.
We use a lure locally known as a "
Woghead" - which has a weighted nose , and a 3 gang hook that we put garfish on. These lures are excellent for all types of pelagics.