It's always better to have a safety feature when deleting files.
You have two options:
1. Use keyboard shortcut by pressing Shift+Delete
It will ask you for confirmation.
2. If you want to use your right-click mouse menu to permanently delete files, then use this as a command for the thunar custom actions:
zenity --question --title="Remove..." --text="Do you wish to permanently\nremove the selected file(s)?"; if [ $? = 0 ] ; then rm -r %F ; fi