Those are the annotations/progress files. Since sideloaded books are not synced to Amazon, annotations are not deleted with the book, allowing you to re-sideload them and have your annotations back.
Books that are in Amazon's Cloud will have those files removed.
When calibre removes a book from the device, it will remove the annotations folder as well. Or you can manually remove them via USB.
Considering that they will usually total a couple kilobytes, I wouldn't even bother.
