If you make a mistake while entering SKU information, you can easily delete a newly created SKU using the SKUs menu.
Select the item you wish to delete and press the button located at the top right of the screen.
Note that you can only delete SKUs without any sort of history (sales, PO received, etc). To remove a SKU with history, you can set it to inactive. Select the SKU and un check the Active check-box in the SKU Information box. The highlighting on the word "Active" will change from green to red to show that it is now inactive.