Not unless you never want to use it again. If your computer is running out of space then there are other files that should be removed before wxWidgets, such as all the compiler-generated files. If you are using Microsoft compiler then it will generate some pretty large precompiled header files (*.ncb).
My assumption was wrong.
I thought that after building, the wxWidgets library are being put somewhere and then you can delete that folder. Thanks for the answers :)
Wait, what? That would be a completely different question.
After you build and install WxWidgets, you can remove the directory that you built it on (ie, the folder you extracted the tarball into). This is not called 'uninstalling'.