Yes a delusion is a false belief - it usually indicates self deception. If you are deluded you are deceiving yourself. An illusion is more like visual trickery - when something appears to be different to how it is in reality, or when something is just a dream/fantasy. Magicians perform illusions. A mirage is an illusion.

Delusions are something personal, such as a belief. For example: "He's harboring delusions of grandeur". Delusions are always a bad thing. Illusions are different, usually an optical thing and they aren't necessarily a bad thing. For example: "He is a master illusionist".