I've always heard and seen that they are far too intelligent... and i am sure this is generally the case, however I have read of the odd dolphin taking lures, and certainly foul hook might be a concern if there are a lot of lines in.
Another reality is Dolphins getting caught in discarded line... Not that I am very qualified on this topic...
See http://www.tbnweekly.com/editorial/outdoors/content_articles/032907_out-02.txt
also accounts of the same thing:
By NEIL JOHNSON The Tampa Tribune
Published: Oct 13, 2006
TBO.com Site Search | Tribune archive from 1990
"A treble-hooked fishing lure in a fifth dolphin's mouth may have contributed to its death, said Randall Wells, director of the Center for Marine Mammal and Sea Turtle Research at Mote Marine Laboratory in Sarasota. "
So I would say, generally not a good idea.
GW