took me a while to figure this out too, but once I knew about how to PBEM, it answered this to..

• right-click or cmd-click on CEAW app
• choose Show Package Contents
• open the Resources folder
• right click on the CEAW icon (NOT the one listed as CEAW.icns)
• again, choose Show Package Contents
• you'll see a folder called Save (as well as Hotseat, pbem, etc.)
• right-click on the Save folder, choose Make Alias (a shortcut)
• move that "Save Alias" on to your desktop (and latter where ever it's easy to access, I Have it in a CEAW folder in Applications)
• you might as well make alias for the other folders like PBEM, Hotseat, etc., too while you're there.
• once you open the Save folder you'll see all your old saved games and you can delete/drag them to trash.

Hope that helps.