The coins need to be in your possession, for the snapshot will count delegated HP to the owner of the stake.
Sorry, I don't really understand this sentence. Do I get airdrop for my delegated HP or whoever I delegate to gets the tokens? Should I terminate my delegations and redelegate after the snapshot?
Your coins are in your account/possession so you WILL get the air drop even though you delegated them.
I dont believe you need to terminate your delegation for the snapshot.