$\it{\Delta}$is useless as it will print Δ and not Δ- We can use
\varDeltain LaTex to get the Δ, but it is useless in Matplotlib - It is inappropriate to use slanted text,because I want to print something like "Δ/mm"
$\it{\Delta}$ is useless as it will print Δ and not Δ\varDelta in LaTex to get the Δ, but it is useless in MatplotlibYou can import the Latex package amsmath and then use $\mathit{\Delta}$ in the label.
MWE:
import matplotlib
import matplotlib.pyplot as plt
from matplotlib import rc
from matplotlib import rcParams
matplotlib.rc('text', usetex = True)
params = {'text.latex.preamble': [r'\usepackage{amsmath}']}
plt.rcParams.update(params)
fig, ax = plt.subplots()
ax.plot([1],[1], 'bo')
ax.set_xlabel(r'$\mathit{\Delta}$/mm')
ax.set_ylabel(r'$\Delta$/mm')
plt.show()