I would imagine the easiest way is via your OS to locate where you saved the Project folder (if not the default location) and then simply delete it. VMS simply gives links to where your project files are i.e. images and videos, it doesn't actually import them so by deleting the Project file you won't actually be deleting any of the original media.
It helps a lot if you start each project by creating it's own separate folder for that project. Put all the media files and .veg files in that folder. Then when you're done you can back up that folder and/or delete it. Very simple.
Yes, just adding to Chienworks post - this is essentially what I do. I make copies of my media, whether it be the music clips, video clips or still images and copy them over to a seperate folder. I also set the folder as the default for my Projects. Once the project is complete i.e. burnt to disk or what have you then I simply delete the lot.