I often do a simple search and delete before archiving, you could also select them all, choose properties and set them to 'hidden'.
I don't know of an automatic way of doing this, perhaps there is an application that can run in the background to turn spacific file formats to hidden, or maybe it's even built-in windows, who knows...
I understand though, I used to be annoyed to all hell by them!
Maybe a simple script can be made to clear a projects sfk's when prompted. Remember that the next time you open a project vegas will have to redraw eveything and take longer to load. Plus sfk's are shared between apps so opening a file in soundforge/acid will take additional time too.
I think I'd be happy with an option in Vegas (like in Sound Forge) that let's me hide the sfk files that are created).
There are so many features that the Sony products each have that would be wonderful if they were shared across all apps (like track folders). Hiding the sfk files for Vegas is another.