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OF doesn't delete completed actions. It's just filtering them out of the view.

Take a look at the Perspectives menu, particularly the All Items and the Completed Items options. You should also investigate the View Bar (use menu View → Show View Bar) for controlling the display more precisely. To really use the power of OF, you'll eventually want to create your own perspectives. See the videos on the OF home page for more on that.

There's a bit of a learning curve with OmniFocus, but it rewards your efforts. Enjoy, and good luck.