It's not possible to remove individual episodes from the Latest section of My Sounds. The Latest list shows the most recent episodes of your Subscribed programmes that are available to listen to, they aren't saved to your account or My Sounds.
If you unsubscribe from a programme or podcast, its episodes will be removed from Latest.
For advice on unsubscribing, check the How do I unsubscribe from a podcast or programme? page.
For help with removing items from your Continue Listening list, or for information on My Sounds, have a look here: What is My Sounds and how do I use it?