I'd like puzzles to disappear when I'm done with them. I suppose some people don't, so this would have to be a preference setting for what happens when you close a puzzle. There might be multiple levels:
1. The current behavior (prompt if unsaved changes).
2. Auto-retentive (don't ask, always save).
3. Dismissive (if puzzle is finished, discard changes).
4. Clean sweep (if finished, discard changes and delete file).
Or maybe you can divide this into two preferences, with independent settings for what to do if the puzzle is/isn't complete (and correct).