If an icon is a short cut (has a little arrow in the bottom left) then you can delete it and it will only delete the icon.
Non-shortcut icons MAY delete other files (a Word document for example will delete the actual Word file).
Why not create a new folder on your desktop (right click, select NEW, then New Folder) and give it any name you like.
Then drag any icons you no longer use into that folder.
That way they are still there if you need them, but they are not cluttering up your desktop.