Reaper Optimisation/Files

You should go through each of your projects you have, load them up, hit Save As, then tick the boxes for "create subdirectory for project" AND the "Move all media into project directory" for each one and then everything should be in it's own folder. Then you can do what Bryan said.
 
Soooo many times I've made the mistake of starting a new project and adding/deleting audio without saving the project first (in its own folder, obviously) and end up with a shitload of random wav files in whatever subdirectory I was in.

Terminus - I'll have to remember to check that little tip out.
 
As they said, glue what you want as a single .wav files, and clean directory. Works like a charm, I do it all the time, and I check I didn't forget anything by renaming the final .wav files and check the directory for any forgotten .wav file somewhere in the project.

Terminus's way works too, but it doesn't "clean" the project itself (I mean, I use the cleaning function as a way to force myself intro making my project more organized), and you have to go back to the explorer and delete the previous folder too. You need to rename the folder too to not overlap. Once you are used to use the "clean directory" function, you don't even have to check, I do it sometimes from inside reaper without feeling the need to go check because it's pretty reliable. I do terminus' method when I want to go to the next step (recording > editing > mixing etc) because I like to keep the project in its current state and duplicate it before I alter it further.

EDIT : juste in case you don't know, to rename a file, you need to do it right on an object : right clic on an item, "item properties", "rename file". Change it to something more appropriate. Now if say you're done with editing and wanna get to a mixing stage, you can have one file per track with a clear name, drum tracks with names like "dr_kick.wav dr_snare.wav" etc and your project will be 100% clear even if you open it in 10 years.