It's not possible to remove individual episodes from the Latest section of My Sounds. However, if you unsubscribe from a programme or podcast, its episodes will be removed from Latest.
For advice on unsubscribing, check the How do I unsubscribe from a podcast or programme? page.
For help with removing items from your Continue Listening list, or for information on My Sounds, have a look here: What is My Sounds and how do I use it?