I use Vegas Pro, but I think this applies to the Movie Studio version as well. As far as I know there is no magic clean up button that removes the unused files from your folder. However, if you go to the 'project media' tab in Vegas, you will see reference icons of all the files that were used during your editing session including jpegs, and .wav files. This is an accumulation, so if you pulled a clip in and then decided to delete it from the timeline it will still show up here until you click the button with the lightning bolt icon, this updates this folder so it will show you everything that is currently on the timeline.
This can be your reference to manually remove from the folder outside of Vegas. Caution: if you delete a file that is in the timeline, Vegas will complain and ask you for the location of the file the next time you launch this session. Likewise, if you move or rename any clips that were in the timeline, Vegas will treat this like a lost file and you will have to show Vegas where it is.