Cannot delete a file unless VLC is completely closed

[rhap4boy]

When organizing and play through a lot of video files, sometimes I need to completely close VLC in order to delete a video file. Sometimes I have to wait couple seconds/minutes after closing a file before I can delete it. Sometimes I have to play a different file first in order to delete the previous played file. Closing the VLC window will not do. VLC seems to get hold of the file.
The error message I get is usually "The operation can't be completed because the item "XXXXXXX.XXX" is in use."
Sometimes it is because the finder is displaying a preview.
Is there a way for VLC to close VLC completely when clicking on the red x in the window?