Summarize this article:

Scroll over to the tab for the Build mode part of the catalog. Hit the X button to select the Walls and Fences section. This opens the removal wall and fencing tool. Now that you have the wall tool available, move it to one of the corners of the wall or the spot you wish to remove. First, press the X button. Then, stretch this wall tool out to cover the area you wish to remove by using your Left Analog stick till you have sufficiently covered the amount you want to remove. Notice that it has all X's on it and that it is green. This means you have selected to remove a wall or a fence and it is allowing you to do so]. Press the X button again to remove the wall section. Just hit the Triangle button to exit.

Summary:
Select "Walls and Fences". Now hit the Square button. Place the wall tool where you need it. Stretch the wall tool to cover the entire section you want to delete. Delete the wall.