Convert this delegate to an anonymous method or lambda

I am new to all the anonymous features and need some help. I have gotten the following to work:

public void FakeSaveWithMessage(Transaction t)
{
    t.Message = "I drink goats blood";
}

public delegate void FakeSave(Transaction t);

public void SampleTestFunction()
{
    Expect.Call(delegate { _dao.Save(t); }).Do(new FakeSave(FakeSaveWithMessage));
}

But this is totally ugly and I would like to have the inside of the Do to be an anonymous method or even a lambda if it is possible. I tried:

Expect.Call(delegate { _dao.Save(t); }).Do(delegate(Transaction t2) { t2.Message = "I drink goats blood"; });

and

Expect.Call(delegate { _dao.Save(t); }).Do(delegate { t.Message = "I drink goats blood"; });

but these give me

Cannot convert anonymous method to type 'System.Delegate' because it is not a delegate type** compile errors.

What am I doing wrong?

Because of what Mark Ingram posted, seems like the best answer, though nobody's explicitly said it, is to do this:

public delegate void FakeSave(Transaction t);

Expect.Call(delegate { _dao.Save(t); }).Do( new FakeSave(delegate(Transaction t2) { t.Message = expected_msg; }));