???
If you delete it from your main Library (-> Music) it should prompt you and ask if you want to keep or trash the file.
If you delete it from a playlist, you just delete it from that playlist... unless you hold down the option (aka alt) key, then you should be getting first one prompt to ask if you really want to delete it from your library then the same prompt as above and the song(s) should be deleted from your Library all together (ie. put into Trash).