Im at the Winking Skeever talking to this Wood Elf about sneaking into the Thalmor Embassy. Am I correct in understanding that I am to give him my armor and weapons that I have now for him to give me later?

What Happens if I give him nothing and just meet the Blade at the Solitide stables as instructed?

Thanks for any advice!

If you don't give him anything to smuggle in you will be doing the entire mission in stealth to avoid fights. This will be extremely difficult if it is at all possible. If you decide not to, there may be a dagger or something laying around you could use, but if not good luck in just your party clothes. Whatever you don't want smuggled in, delphine will take and hold on to for safe keeping.

Well, then your equipment during the quest will be limited to your spells, powers, shouts, and the party clothes Delphine gives you, which will likely make it more difficult to complete the quest.

Malborn can carry infinite equipment, I believe, so there's really no downside to just giving him everything, except for an obvious immersion break. If you'd like to skulk around the embassy with only a few items, I'd recommend a weapon, lockpicks, scrolls, potions, and maybe a piece or two of enchanted jewelry.

What you can pick up at the embassy includes Thalmor robes, random potions, random weapons, and whatever you loot off the NPCs there (Elven armor and weapons, and Thalmor paraphernalia), but such items are few and far between.

Thanks everyone!