You can set that as an option in yum.conf . However, you do run the chance of running out of space in /boot if you get too many kernels piled up there. The default is to keep the last 2 (or 3?) kernels and delete the older ones.
I wonder why it is trying to delete a newer kernel than the one I'm using? I generally put an exclude=kernel* line in my yum.conf to keep this from happening.
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