~ Is your Home Folder
They are placed in a Folder (Bundle Package) with an extension of ".vmwarevm" which by default the extension is not visible in Finder.
Example: "~/Documents/Virtual Machines/Windows XP SP2.vmwarevm" would in Finder just look like an icon named "Windows XP SP2"
You would move the "Windows XP SP2" Bundle to the Trash to delete the Virtual Machine