I am making an application in which I would like to receive the temperature through an Arduino. I think using Sockets is a great way to communicate, but I have no idea how to use Sockets in an Android application made with Delphi.
Is it different from how it is used in Delphi compiled for Windows?
You can use the "usual" Indy that comes with Delphi and is available for mobile platforms as well.
Another option that you can look at is if you can communicate via bluetooth.