I was having the same issue. Was looking at the gallery through the wrong app. I was accessing the gallery by going to Menu>Wallpapers>Gallery. Only gives you the option to Save or Cancel. This is the wrong way to do it. You have to get to the Gallery through your camera. Go to Camera app>select your camera shots gallery. It should bring up all images with icons at the bottom. If you select the List icon at the bottom, it'll bring up your gallery. Select the album you want to edit, then the image. Either long press, or select the image and it'll bring up a list of stuff to do, including delete as an option. Hope this helps.