Usually delay is used post gain either in an fx loop or after a distortion pedal. This is what happens if you run a delay before a high gain preamp.
When your amp is distorting and you roll the volume control of your guitar down, the volume stays approx the same, but the signal gets cleaner. The same thing happens with your delay trails. As the delay fades, the repeats stay at approx the same volume, the tone just gets cleaner and cleaner.
Generally the desired effect is to have the distorted signal repeat and softer and softer, and the only way to get that sound is to have your delay post gain. If you don't have a distortion pedal you really dig, maybe take a look at the TA-30. It's more money, but a compromise has to be made, whether that means spending more, or settling on a different kind of delay sound or finding a good dist pedal.