The answers to this question on Meta Stack Overflow are a partial reference, but essentially: yes, it is bad etiquette to delete questions and answers on a Stack Exchange site without a good reason. The idea is that once you contribute something to the site, it is no longer exclusively yours. Other people read it, think about it, answer it or comment on it, and if you then delete the post, you are robbing the community of the value generated by all that time other people have (or would have) put in. This is the reason that the system doesn't even allow you to delete posts under certain circumstances.
If you post something that you later consider to be worthy of deletion, it's a sign that you shouldn't have posted it in the first place. If this happens once or twice, it's not a big deal, but if you find yourself frequently deleting your questions or answers, you should think more carefully in the future about whether you actually want to post things.
(For completeness, I will note that on most other SE sites, comments are meant to be temporary and should be deleted once they've served their purpose, but I've been informed in the comments that this site is different.)