So there are few different things to consider:
In terms of where the data gets indexed, by default $SPLUNK_HOME/var/log/splunk directory. See https://answers.splunk.com/answers/418636/where-do-logs-go-when-uploaded-via-splunk-webs-add.html#answer-417611
In terms of deleting the data: for the most part, it isn't recommended that you manually delete indexed data (buckets) because that could cause issues depending on your deployment setup. Splunk employs a retention policy where data is deleted by age (or size). The default is ~ 6 years, but this number is configurable on global and/or index basis. This will need to be configured in the indexes.conf, see : http://docs.splunk.com/Documentation/Splunk/6.0.3/Indexer/Setaretirementandarchivingpolicy. If you have the need to delete data, I recommend that you let the data retire, and re-index the data properly ( consider disk space and licensing.)
What index are you sending your data to? If it's a new index and the data is fairly recent, you could clean the index but keep in mind that ALL data in that index will be deleted. See: http://docs.splunk.com/Documentation/Splunk/6.4.1/Indexer/RemovedatafromSplunk
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