After you flash (still makes me laugh) do you need to keep the .zip files on the phone?
If they should be kept, do you use a ROM manager?
I'm assuming you mean the ROM, theme, or any other files required when flashing the ROM. You don't need them, however, I do keep whatever current ROM I am running on the phone just in case I end up needing to reflash it at some point. Sometimes it is good to have on there in case you flash a theme or mod you don't like and want to remove it without restoring a back up.