Here it is demonstrated for Billing Address only, You can do it for Delivery Location as well.
[A] Go to "Settings Module", In the "General" tab. scroll down to "Billing Address".
[B] In Billing Location, Search for the Billing Location from the option, Click on Edit/Delete Button to edit or delete location. Similarly you can click on "+Add Location" button to add new location.
[C] You will get a pop-up window, Make the changes you want and click on "save" button to make the changes or click on "Delete" to delete the location.
Keywords: Edit, Delete, Add, Billing Location.