I was thinking they were saves you moved to your desktop of the worlds you had played.
You can open the Launcher to delete them if you want to make sure- the Launcher will show the cover picture. If you do delete packages from the Downloads folder with the Launcher they do not go to the Recycle bin like if you did from within the DL folder.
I wouldn't save it as a shortcut. Right click on the worlds/lot package (Sims3pack) you want to save/move and choose Copy, then go to the folder you want to keep them in- right click the folder and choose paste.
This will put a copy of the item into the folder and not just a shortcut- which isn't a copy, it tells your computer where to open the program... If you know what I'm saying. :)