I'm not sure why you're needing to delete these directories - the .local/share/icons/hicolor/scalable/hildon is the correct location for installing replacement icons, whether you're doing it over WinSCP or on the N900.

Anyway, you can delete a directory (with contents and subdirectories), using "rm -r". If you created them as root (i.e. after running "sudo gainroot") then you'll probably need to be root to delete them though.