Hi, I usually set mine up like you did - primary CF card RAW and secondary SD card jpeg . When you want to delete a picture, ensure that you are looking a the correct picture ( is it the RAW picture on the CF card or the jpeg picture on the SD card). Look at the bottom of your LCD and it will say which card the picture is on. If it is on the CF card and you want to delete from the SD card, you will need to scroll through all the CF pictures to get to the pictures on the SD card.
Just remember you have 2 images - one on each card. i hope this helps