There are several ways you could do this.

1. Check and see if the bullet's velocity's magnitude is what its supposed to be if it hasn't hit anything. If the magnitude is off by X amount, delete the bullet.

2. Cast an ObstacleRay in the direction of the bullet's velocity, and give the ray the same magnitude as the bullet's velocity. If the ObstacleRay detects anything, delete the bullet.

Oh, and to delete something, "self.ToDelete = true" will work.

That's all I got.