Whenever you have finished with a file, you can drag and drop it into the Trash at the bottom right of the desktop. Selecting multiple files as well as folders (including their subfolders) is allowed, and they will be immediately removed from the filesystem.
But if you make a mistake, all is not lost. You can open up the Trash and either drag any items you didn’t want deleted back to their rightful places, or right-click them and select the Restore option.
When you are certain that the files are indeed trash, you can either right-click the Trash icon and select Empty Trash or open up the folder and delete them separately, by right-clicking each and selecting Delete Permanently. This allows you to delete files you definitely don’t need anymore, while holding on to others you’re not totally certain you want completely erased.