Deleting pics from Lightroom

[bs0604]

I have a Macbook Pro 10.6.8 importing images to LR4 from my Nikon D800 camera. Have Photoshop CS4. I notice that when I import from my SD card to LR, but have not yet imported into a collection, I can "delete" the images I don't want. But after I have moved the images in to a collection delete in longer a choice and my choices are "remove" either from collection or catalog. If I do this it removes the picture from LR but there is still a file when I open "Pictures" folder on my hard drive. If on the other hand I remove the file first from "Pictures" folder on the hard drive the image is still present in LR but says "off line". Is there a way in LR I can delete the picture and its file from both LR and from my hard drive "Pictures" folder at the same time rather than having to remove both separately?