Jungwoo, I am not aware of an extension doing all that. You can do it manually by setting Fiddler as reverse proxy to capture the incoming traffic, too and then export sessions as SAZ files.
John, I am not sure I completely understand your situation. Were you successful in configuring Fiddler as a proxy to your Delphi app? I am not really an expert in Delphi but what is the chance that your app uses different APIs to make the SOAP and REST calls and the REST calls API doesn't use Fiddler as a proxy?
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