Or if you do not want to keep history at all, select Private Browsing. It then deletes the history when you closes the browser.
That's what I do, but OP, do know that if you have remembered passwords for certain sites, they will be deleted if you clear your cache/cookies, not your history, and you do need to clear the cache periodically. If you clear your cache and want to use private browsing, use this procedure:
-clear cache
-when you get to a site, like Crackberry, that you save the password for, before you log in
disable private browsing
-enter your password and select "remember password"
-go back to security and enable private browsing
-repeat this at each site you wish to automatically log in to
Now your history and cookies will be deleted when you close the browser, but your passwords will be saved until you clear the cache again.