That depends on how you wrote them. You can write to disks in broadly 2 ways: packet writing or disk at once. With packet writing, the disk acts like a large floppy disk - it has to be formatted, but then you can add and delete data as you like.
In disk at once, you collect the data you want and then write it all in one go using a cd writing program such as Nero. Once written, you cannot delete individual data items, but with a RW disk you can delete the lot and start again.
It sounds as though you used the latter.