I downloaded the SFML 2 snapshot.
Before starting to change my code over, I thought I would try the latest OpenAL DLL (from the SFML 2 snapshot).
Replacing the DLL seems to have worked. The sound delay has gone away. The interface on the DLL must be backwards compatible (at least with the functionality I'm using at the moment, which is very simple).
I noticed a few comments about sound delays and issues with OpenAL under 64-bit versions of Windows - perhaps that was the reason.
I will move over to SFML 2 at some point, I'm just concentrating on getting some gameplay working at the moment. Everything is behind interfaces on my engine, therefore it should be easy to switch.
Thanks again for your help.