TolkienJRR wrote:
I am 99.9% sure I read it in his letters. Does anyone know which one?
It's definitely not in Letters (not even in the extended version of Letter 131 to Milton Waldman that was only recently published in Hammond and Scull's "LOTR Reader's Companion".)
As someone has already replied to you in another forum, it first seems to have surfaced in a NY Times obituary (linked below). However looking at the other "quotes" supposedly attributed to Tolkien in that obituary I would not trust it (the obituary) as far as I could throw it. (Read the bit about Hans Christian Anderson which casts what Tolkien actually said into modern, hip wording. This was 1973, remember, surprising they didn't go as far as having JRRT saying "I knew he was always getting at me, man").

Maybe it was something said in an interview - certainly the language is more informal than anything Tolkien would have written, even in a letter.
And yet, even though the quote sounds rather like a cobbled-together pastiche of what someone might have thought Tolkien might have said, there is just enough in there to be credible. The "wonder and delight" phrase is genuine Tolkien. JRRT uses it when describing the framework of the "Tale of Arda" (the overall big picture Legendarium we might say.) (Described in Morgoth's Ring,
The Later Quenta Silmarillion).
And this information would not have been available to the obituary author at the time of writing. To be fair, Tolkien does use "wonder and delight" in LOTR in other contexts a couple of times, so it could have been borrowed from there, if it was borrowed at all.
https://movies2.nytimes.com/books/01/02/11/specials/tolkien-obit.html