I mentioned this over at http://www.gnomedesktop.org/ and it got some
support.  It would be nice if Rhythmbox had a "physically delete file"
option in the context menu to remove unwanted MP3s from your hard drive.

The rationale:  I have a LOT of MP3s, nested in a LOT of folders.  I don't
always remember which MP3s are corrupted, or which MP3s I don't want in my
library anymore.  In the event I do remember, I usually just put off the
library cleaning 'till later, as it involves opening up nautilus, and
navigating through several folders, each containing thousands of files. 
Now this library cleaning is usually prompted by Rhythmbox hitting the
offending MP3 on the playlist, at which point my face wrinkles and I think
to myself "this has gotta go."  It would be a VERY handy feature if I could
just open up my playlist and right-click->Physically Delete File.

Alternatively, take the RealOne approach and ask in a window "Delete file
from hard drive too?"