Directional switching in a self-propelled particle model with delayed interactions is investigated. It is shown that the average switching time is an increasing function of time delay. The presented results are applied to studying collective animal behavior. It is argued that self-propelled particle models with time delays can explain the state-dependent diffusion coefficient measured in experiments with locust groups. The theory is further generalized to heterogeneous groups where each individual can respond to its environment with a different time delay.