Your comments

Just did the same thing Callum did; deleted an entire folder instead of "Remove from Project".  Often, delete folder = remove.

Sublime not only deleted the folder, but made the entire folder undeletable!  I tried 2 undeleting programs (Win7), with out saving anything else to the HD, & not a single item could be found on the entire HD.  Though I should back up more often, I lost $15 worth of MP3s & 3 hours of time trying to recover.

Please either add a "Are you sure?" dialog, or disable the menu option by default.