Iphone – NSURLConnection delegate methods are not called

I am trying to create a simple NSURLConnection to communicate with a server using a GET request. Connection works well, but delegates methods of NSURLConnection are never called..

Here is what am doing:

NSString *post = [NSString stringWithFormat:@"key1=%@&key2=%@&key3=%f&key4=%@", val1, val4, val3, val4];

NSMutableURLRequest *request = [[[NSMutableURLRequest alloc] init] autorelease] ;

[request setURL:[NSURL URLWithString:[NSString stringWithFormat:@"http://www.domain.com/demo/name/file.php?%@", post]]];

NSURLConnection *connection = [[NSURLConnection alloc] initWithRequest:request delegate:self];
[connection start];

Have implemented the following delegate methods, but none of them is called..

-(void)connection:(NSURLConnection *)connection didFailWithError:(NSError *)error{
    NSLog(@"did fail");
}
-(void)connection:(NSURLConnection *)connection didReceiveData:(NSData *)data{
    NSLog(@"did receive data");
}
-(void)connection:(NSURLConnection *)connection didReceiveResponse:(NSURLResponse *)response{
    NSLog(@"did receive response ");
}
-(void)connectionDidFinishLoading:(NSURLConnection *)connection{
    NSLog(@"did finish loading");
    [connection release];
}

Am I missing something?