Dexter told Delilah that she needs to be careful or she will end up in the naughty chair. He speaks from experience because he gets the naughty chair a lot. The trick is to not get caught doing the things Mom and Dad don't want you to do. It is best to do these things (like jumping on the counter) when they are not at home.
Delilah likes to chew up the newspaper which is a bit harder to get away with. Even though she can restrict her chewing to the times when they are are work, she can't hide the evidence. So for her it is best to be good and avoid the naughty chair altogether.