I'm assuming you mean the $NtUninstallKB899510$ etc folders.

Just remove the updates and not the $hf_mig$ folder.
And remember that if you remove them, you can't uninstall any of them.
The best option is to back them all up on a CD, and then remove
everything up to about 2-4 weeks ago.

I did it and it worked fine.

See http://www3.telus.net/dandemar/spack.htm

this util makes it easy to do that:

 http://www.dougknox.com/xp/utils/xp_hotfix_backup.htm

Many thanks, Al, PA and frodo.
RobF