Well, WinRAR supports a temporary extraction mode, which you can configure in the SFX options. This does the trick nicely, but it's an all-or-nothing approach. Eg, you have to specify this when creating the archive, so it'll either always delete itself after execution, or it never will.
There isn't really any clean/easy way to do what you asked. It's possible to write a batch file that can delete the extracted files, but given that RAR SFX can only execute programs before or after extraction, you can't tell it to wait until after the program has completed execution before running the cleanup script. I guess you could work around that by having WinRAR launch the cleanup script first, then having it run the application and wait until execution has completed before prompting you and deleting the files, but like I said, it's not very clean.
Another issue is that you're talking about deleting groups of files without any real interation (other than simply clicking Yes). I trust WinRAR to do stuff like this in temporary extraction mode because it's specifically written to create unique directories and ensure it doesn't delete any other files, but I'd be a heck of a lot less willing to run a custom written script on my system that's going to do the equivalent of deltree on
any directory. Call me paranoid.