In the paper, we present new semi-analytical approach for FDE's consisting in combination of the method of steps and a technique called differential transformation method (DTM). This approach reduces the original Cauchy problem for delayed or neutral differential equation to Cauchy problem for ordinary differential equation for which DTM is convenient and efficient method. Moreover, there is no need of any symbolic calculations or initial approximation guesstimates in contrast to methods like the homotopy analysis method, the homotopy perturbation method, the variational iteration method or the Adomian decomposition method. The efficiency of the proposed method is shown on certain classes of FDE's with multiple constant delays including FDE of neutral type. We also compare it to the current approach of using DTM and the Adomian decomposition method where Cauchy problem is not well posed.