Yes, you can. From version 5.0 SQLyog supports these features. The DELIMITER command is implemented in the SQLyog editor like in the MySQL command line client. About the use of DELIMITER with SQLyog read here and here.
Further special GUI functionality is implemented for the new MySQL version 5 features:
* Special editor tab types with built-in templates for these features
* And functionality to do the must common operations from the program's main menu and from pop-up menus. Further SQLyog now support the various SQL-modes introduced with mySQL version 5.0 - also 'strict mode'.
To work with Views Stored Procedures/Functions and Triggers it is probably best to use direct connection or SSH-tunneling. However it will also work with HTTP-tunneling if the php_mysqli() connection method is available. If only the php_mysql() connection method is available there a some restrictions - most significantly you cannot have anything returned form SELECTS inside a Stored Procedure. The SQLyog PHP tunneling script 'finds out' what extension (php_mysql or the php_mysqli) is available and uses it.