//Now Delete the Refund for an order but do not delete the order.
$order = Mage::getModel('sales/order')->loadByIncrementId('XXX000320');
//Delete Credit Memo
$creditMemos = $order->getCreditmemosCollection();
foreach($creditMemos as $cm){   //cancel each credit memo for the order
    $state = $cm->getState();
    if($state == 3){//Cancled
        continue;
    }
    // you can also run an "if" check here on the CMs id for a specific CM
    $cm->cancel()
        ->save()
        ->getOrder()->save();   //Needed to save the order to apply the canceled credit memo to all order items.

    $cm->delete();
}