How do you delete save games? I remember there was some sort of shortcut for it in the engine

You can delete autosaves. deleting actual savegames, requires it to be selected.

For autosaves you can do that in the game launch actions.

delete autosave #?

or

you could probably also use Lua script to iterate through a bunch of filenames to see if they exist & if they do then delete them, but I'm not going to go into that as it requires using OS functions; & maybe even the LFS functions.

Here: