The best thing to do is transfer the files to your computer or external hard drive with a card reader. Card readers are faster than plugging your camera into the USB slot on the computer. After making sure that the images transferred okay, you can delete them from the card. It's faster just to do it while the card is still in the reader, that way you can see which one's you're deleting. If you deleted all of the images, then when you put the card back into the camera, format the CF card. Formatting deletes everything on the card, so be careful.
Those files are basically your settings for that raw file. If you were to reopen a file that you previously worked on, that file would retain all the settings. You should not have those files on your CF card because you should never edit directly from your storage card. Always work off of a copy of the file on your hard drive.