You are not in transit; you have two point-to-point journeys.
The first is Europe to Delhi - in this scenario your status is the same as someone traveling to Delhi as their final destination - this is, you need authorization to enter India. In fact, the airline will refuse to issue you a boarding pass if you cannot show valid documentation that allows you entry into India; since your boarding pass and ticket are from Europe - Delhi.
The second is Delhi to Kathmandu -in this scenario you are just like anyone else traveling from Delhi to Kathmandu; you need the appropriate documents to exit India and enter Nepal.
To enter India, unless you hold an Indian passport - you will need a visa of some sort. The kind of visa you need will depend on the length of your stay.
If its between 24 and 72 hours, you need a transit visa. Anything more than that and you need a tourist visa.
However, as you are going through customs and collecting your bags - you'll need a visa of some sort even if your stay is less than 24 hours.
Now, as for the rules:
There is no transit visa on arrival. You'll need to arrange a transit visa in advance. There are two types - a single entry and a double entry.
If you are a citizen of Cambodia, Finland, Japan, Laos, Luxembourg, Myanmar, New Zealand, Philippines, Singapore, Indonesia or Vietnam you can get a tourist visa on arrival which is valid for a single entry.
I even read some post related to same issue, some were suggesting that
if i inform the airlines they will transfer my luggage to my
This depends entirely on the airlines involved and I would personally not rely on this being offered.
For more information, I suggest the following: