Hi roboromain and welcome to the RH community.
This is normally caused by some reference to the file remaining in the project. Try using the find and replace tool in RH8 to see if it is referenced anywhere. If you find it, remove it from the file and then you can delete the baggage file.
Read the RoboColum(n).
Thanks, Colum. That worked. I deleted all references to the files using the Find/Replace feature as you said. And when I deleted the entries from the rhbag.apj file, the baggage files just vanished!