It may have changed (or may not work as it should), but I recall that when you place an order there is a tickbox to say that items from your wishlist have been purchased and do you want to remove them. I tend to leave it unticked and change my wishlist manually, just in case the order goes missing or the part is wrong when it arrives.
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I guess I have to do it manually as well once I find the time and patience.
Thanks for your answer, I will keep my eyes open for the box next time.