More of a "depends" kind of situation. If you have this box checked in preferences then you can delete the files from your download folder since they'll be copied to your iTunes library folder. I prefer this method so that I don't have to think about where all my music is, it's in one single easy to backup folder.
If that box is not checked then deleting the files will surely f s up.
Basically, once the song shows up in iTunes, you can delete the file from wherever it downloaded to your computer (probably 'downloads' but could be desktop or somewhere else). Just make sure NOT to delete from the folder called 'iTunes media' or something similar. The folder you should not be deleting anything from is located at: Music > iTunes > iTunes Media > Music (at least this is where it is on mine and should be the same on yours). Maybe you could test it out by deleting a file and seeing if it disappears in iTunes. Hope this helps.