Who do the delegates go to if a candidate drops out

[Mobius]

after receiving said delegates in a previous primary?

[mohc]

1. pledged delegates can not be released.

They will have to vote for their candidate in the first round of voting at the convention. They could play a crucial role in the second round if noone gets a majority.

[Tatiana]

2. From CNN

Every state has a set of wild cards -- that is, unpledged delegates chosen to attend and vote at the national convention, but not obliged to support a particular candidate.

Unpledged delegates make up about 20 percent of all convention delegates (ranging from 12 percent in Ohio and Florida, to 35 percent in Delaware, to a whopping 59 percent in Washington, D.C.).
They typically include local members of the Democratic National Committee and elected officials (like Democratic governors and representatives), who automatically earn a vote on the convention floor. In addition, the state Democratic committee (or existing delegates) chooses one or more "add-on" delegates a few months or weeks before the national convention.

The unpledged delegates give state delegations flexibility on the national convention floor.

Further complicating the process, candidates may drop out of the race before the convention or even before all of the pledged at-large delegates are chosen. In those cases, the state party and the withdrawn candidate may have some influence on how those delegates vote on the convention ballot.

More...

http://www.cnn.com/ELECTION/2004/primaries/pages/misc/more.html