I saw this thread which discusses a solution for git, and found this thread on the mailing list for Mercurial (the thread is four years old though)
The solution proposed in the mailing list is to use hg rm -Af file (and they leave open the possibility of implementing this behavior as a new, more intuitive option). I'm wondering if that option exists now.
Also, if I try the command above:
> hg rm -Af my_file
> hg st
R my_file
there is an R next to my_file, but the file my_file is technically on disk, and I have told Mercurial to stop tracking it, so why am I getting R next to it?