Wirelessly posted (Mozilla/5.0 (iPhone; U; CPU iPhone OS 4_3_3 like Mac OS X; en-us) AppleWebKit/533.17.9 (KHTML, like Gecko) Version/5.0.2 Mobile/8J2 Safari/6533.18.5)
From reviews of iOS5, you can delete a song from your iDevice. I imagine you'll have to let it download all the way, then just delete it from your device. That doesn't help while on iOS4 though.