Quite unfortunately, Apple removed a very useful feature in iTunes 9.1. Previously, it was possible to go to the Podcasts pane and bulk-select the entire podcast list, and in the context-menu, select “Allow Auto Delete”.
This was an important feature, as otherwise, podcasts with set to “Do Not Auto Delete” would stick around after refreshing my podcast feeds. Of course, I had already set in the iTunes preferences that I only wanted to keep unplayed podcasts, but iTunes had this extra un-Apple-like complication of overriding that setting on a per-file basis.
Anyways, as a stop-gap measure, I wrote an Automator service to delete played podcasts.
The service is stored at http://sites.google.com/site/smithco/Home/remove-played-podcasts/RemovePlayedPodcasts.zip?attredirects=0&d=1 and can be installed by unzipping it and copying it to your Services folder (<user>/Library/Services).
The service is built for Snow Leopard (OS X 10.6).
This service contains AppleScript code from Rob Ryan (http://discussions.info.apple.com/message.jspa?messageID=11316250#11316250).