Where do deleted files go? Must I empty the trash or does this happen automatically?
In the file manager (called thunar, btw) selected go/trash. There's then an empty trash option in the file menu. Alternatively, hold down shift before right-clicking and selecting delete (or shift+del) to delete completely without going to trash.
Is there any way to add a "Trash" folder to the list in the left pane of the "My documents" window? Searched through all the preferences and view options but didn't see anything that would do this.
If you go to /home/user/.local/share/ you'll see the Trash directory. Right click, send to, sidebar. Or you can go one further in and add the files directory in. Haven't found a way to rename it to Trash, though.
