The (possibly painful) answer is do a search of your hard drive for all relevant files and delete them.
However, this can be avoided with proper project management.
Whenever I start a new project in Vegas, I create a separate folder for it. I then place all the media that’s required for this project (even if it’s stock material I already have on my hard drives) into separate folders within the master project folder. When the project is done, it makes it much easier to delete what I need to.
I also make sure that the Temp folders in both Vegas & DVD Architect point to where I want them to (generally a separate folder on my render drive) and not the default settings. This way, I don’t have material sitting in some obscure folder on my system drive.