This is an old post but figured someone might find the answer helpful. When using docker you need to define the volume that deluge will use and a location on your OS. This will create a shared folder which your docker container and your OS can see/use. I am using Docker on Windows 10. I have a batch file that I use to create this container. If you really want to get advanced you can use docker-compose which has yaml based configuration files which are easy to maintain.
Example:
docker create --name=deluge --net=host -e PUID=1000 -e PGID=1000 -e UMASK_SET=022 -e TZ=America/Chicago -v C:\Docker\deluge\config:/config -v C:\Torrents\incomplete:/downloads -v C:\Torrents\completed:/completed --restart unless-stopped linuxserver/deluge:latest
