ClosureTest.cs

using UnityEngine;
using System;
using System.Collections;
using System.Collections.Generic;

public class ClosureTest : MonoBehaviour {
	void Start () {
        List<int> sourceData = new List<int>();
        for(int i=0; i < 10; i++) {
            sourceData.Add(i);
        }

        Action<int> dataProcessor = delegate(int datum) {
            Debug.Log(datum);
        };
        
        StartCoroutine(RunClosureTest(sourceData, dataProcessor));
	}

    private IEnumerator RunClosureTest(List<int> data, Action<int> dataProcessorAction) {
        List<Action> todo = new List<Action>();
        
        for(int i=0; i < data.Count; i++) {
            AddDelegate(todo, i, dataProcessorAction);
            yield return null;
        }

        foreach(Action action in todo) {
            action();
        }
    }

    private void AddDelegate(List<Action> originalList, int value, Action<int> dataProcessorAction) {
        originalList.Add(delegate() {
                dataProcessorAction(value);
            });
    }
}