The way I do it- with the set of swatches open that you want to re-make open the preset manager from the swatches flyout menu arrow. There you can delete as much or as few as you like in one go , as in command-A to select all off them if thats what you want and "Delete'. And thats it. You can rename the set and save it through Preset Manager as well.

" Try and be nice to people, avoid eating fat, read a good book every now and then, get some walking in, and try and live together in peace and harmony with people of all creeds and nations."
-Monty Python