No I have always changed in Delhi. I actually get my luggage out and check in again. I have never had any problems with that either but I know some had with Indian customs etc
I have found jet airways people both at Delhi airport and ktm to be quite nice.
The thing that bothered me the most with coming thru India is that extra security that the airlines going to India require. Even after going through the security at the airport terminal etc while boarding plane to Delhi in ktm you have go through security check again right before getting into the plane and sometimes that means waiting in the field for half an hour or so right before boarding. During summer can be uncomfortably hot.