To get DNGs straight from the camera go to the "RAW parameters" menu and tick the "DNG format" option.
To erase CRWs go to the "File browser" in "Miscellaneous stuff" and mark (right button) all files you don't want. Then open the menu (left button) and select "Delete".
"Purge RAW" will only remove CRW files if their corresponding JPG is missing, so it won't help in your situation.
When you activate CRW/DNG, CHDK displays a legend with the remaining shots, so that's how you can tell if you accidentally enabled them.
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