Add this line to your change
event handler
$("#theSelect option:selected").attr('disabled','disabled')
.siblings().removeAttr('disabled');
This will disable the selected option, and enable any previously disabled options.
EDIT:
If you did not want to re-enable the previous ones, just remove this part of the line:
.siblings().removeAttr('disabled');
EDIT:
To re-enable when you click remove, add this to your click handler.
$("#theSelect option[value=" + value + "]").removeAttr('disabled');