DELHI now."While changing a sentence from indirect speech to direct speech, we need to FOLLOW these steps-The conjunction 'that' will be replaced with a comma (,) and inverted COMMAS (" ").'Said' remains unchanged.The past CONTINUOUS tense (was going) is changed into the present continuous tense (am going). The third-person 'he' is changed into the first-person 'I' i.e. according to the subject of the reporting verb. (Sanjay)'Then' is changed to 'now'. The final sentence- Sanjay said, "I am going to Delhi now."