I suggest not following Schwartz development of distributions. Instead use infinitesimal analysis, and then see how the original definition of Colombeau looks like!
In *R, let dx be an infinitesimal. Then define:
f(x):= 1/dx if x\in (-dx/2, dx/2) and zero otherwise. This satisfies all the properties of generalized function without the complexities of Schwartz development!
The derivative is a generalised function. It is the same with heavyside functions. Classically this derivative may not exist, but in nonstandard mathematics there is no problem. Using Robinson infinitesimals you can discretise almost everything. The wiener measure can be approached by a suitable random walk.
One can develop a more sophisticated approach to generalised functions using infinitesimals. The example I geve you is really simple!
G.Meloni-E.Munarini, Purely algebraic teories for elementary operational calculus and generalized functions
we show that distributions are simply definable as algebraic universal solution, in the context of sheaves, to the problem of making arbitrary continuous functions infinitely differentiable in a manner compatible with the old continuous derivative.
So, having such a beautiful purely algebraic definition for the important case of the distributions, we wonder if the new generalized functions of Colombeau, or something similar, can be treated in the same way.