Consider the Delaunay graph and the Voronoi tessellation constructed with respect to a planar Poisson point process. The sequence of nuclei of the Voronoi cells that are crossed by a line defines a path on the Delaunay graph. We show that the evolution of this path is governed by a Markov chain. We study the ergodic properties of the chain and find its stationary distribution. As a corollary we obtain the ratio of the mean path length to the Euclidean distance between the end points, and hence a bound for the mean asymptotic length of the shortest path. We apply these results to define a family of simple incremental algorithms for constructing short paths on the Delaunay graph and discuss potential applications to routing in mobile communications networks.