Hi orphanping,
1) In fact, you can running a new program while Edison is powered on. You need to build the project and then go to Run as configuration (Remote application) and then you have to select the connection's name (Edison in my case) in place of local as default.
2) The sketches files are used by the Edison's to run the same program after you powered off and on. So if you do not want start the same project over and over you need to clean up these files.