I would like to add one clarification to @stuffe's excellent expansion on @cyphorious's answer. This is something I see happen a lot, both on long-time Mac users and adopters who come over from other systems.
@stuffe states: "Nothing lives in the dock permanently, anything there should be a shortcut or link to the actual file that is expected to reside elsewhere."
This is correct, but I just want to point out that you don't have to make a shortcut to the file and then drag it to the dock. The icons in the dock are by their very nature shortcuts. And I know that @stuffe didn't say that you had to make a shortcut, but like I said people do this a lot, when they hear that the icons in the dock are shortcuts.
Mac uses this strategy a lot. The same goes for icons in your sidebar, and on the task bar. And numerous other applications on your Mac.
Example: in iPhoto, only the photos in the Library are the true photos, and therefore can be truly deleted. Photos put into albums appear like the real photo, but really the albums are just an organizational method. Deleting the photos out of the albums does not delete the photos, it just deletes their organizational reference, or shortcut, within the album.