String Concatenation in Scheme
SRFI 13 has string-join. Are you sure you really need to reinvent the wheel?

But since you asked for a review, sure, I'll review.


Your docstring is in the wrong place. It should be the second subform of the lambda (after the parameters), not after the internal definitions. If that gives you a syntax error, then your implementation does not support docstrings, and you shouldn't try to shoehorn docstrings into a non-standard location.
Your procedure doesn't work if the incoming list of strings is empty. You should probably keep track of whether to print the delimiter based on whether you're printing the first element, not whether the list will end soon.
You should use for-each rather than a manual loop; it expresses your intent more clearly.


Putting all these suggestions together, we get (tested on Racket and Guile):

(define (string-join ls delim)
  "Join list of strings together by delim into one string."
  (define out (open-output-string))
  (for-each (lambda (delim item)
              (display delim out)
              (display item out))
            (cons "" (circular-list delim))
            ls)
  (get-output-string out))


(The code above requires SRFI 1 for for-each and circular-list.)



If you want your code to be portable to implementations which don't support docstrings, you can use call-with-output-string to avoid the internal definition:

(define (string-join ls delim)
  "Join list of strings together by delim into one string."
  (call-with-output-string
   (lambda (out)
     (for-each (lambda (delim item)
                 (display delim out)
                 (display item out))
               (cons "" (circular-list delim))
               ls))))