The Apple Blog put this nice little tip together.
“I don’t know why it bugged me so much, but I always hated the fact that there was no easy (a.k.a. obvious) way to delete tracks from my playlist AND my library at the same time.
You know the situation: you’re listening to your playlist and come across a song that should never have been added to your library in the first place, let alone your playlist. Perhaps the song was ripped incorrectly, came from an ex-girlfriend you’d rather forget, or maybe you just developed a deep hate for the song’s melody – but whatever the reason is, the song just doesn’t belong in your playlist or your library.
Pressing ‘delete’ only solves half the problem – deleting it from your playlist. Deleting the song from your library takes another few steps. Sure, call me lazy, but being forced to navigate back to the library, search for the doomed song, and then deleting it is just too much work.
Enter the “secret” key combination: Option + Command + Delete
This secret key combination will not only delete a song from your playlist, but also ask if you want to delete the song from your hard drive as well. Problem solved.”
There is one tip that was covered in the comments section that if you just use the option +Delete Key stroke you will get the confirmation to delete.