FBW.
Nutscrape and Exploder both have settings which allow you to set the size of the cache. They will then delete old temporary files as required to prevent the cache size exceeding the set amount, so in that respect there's no need to worry about deleting files yourself. You might want to delete the cache if you share a PC and don't want the other user(s) to know what you've been browsing (clear the history as well).
Whether you delete cookies depends on your stance on personal privacy. Sure, cookies remember your preferences, but they also give advertisers and other undesirables a means to track your browsing habits. Personally I have cookies disaabled unless I'm browsing a site that absolutely insists on them (e.g. Hotmail).