You can delete the file itself in Vegas' explorer window. Also from the project media file when you right-mouse-button click on a clip you have the choice to remove the clip from the project only or the remove clip and delete the file.
Note that if you have Windows recycle bin enabled and the files aren't extremely huge then they'll end up in the recycle bin and you'll have to dump them from there before regaining space.
Ultimate S3 will do this for you. On the Audit tab there is an Unused Media option which will sweep the media pool for unused media and present it in a list. You can then edit the list or just press Delete from Harddrive to have it all deleted.