In most of the research for the wavelength allocation in Wavelength Division Multiplexing (WDM) networks, the connection setting delay time is not considered. However, the entire bandwidth increases because of an increase in the transmission capacity of one wavelength. Therefore, the connection setting delay time should be considered because the data transmission time is shortened relatively. In this paper, we propose a new connection setting method considering connection setting delay. The performance evaluation via simulations shows that proposed method has better performance than the conventional forward and backward reservation methods.