How do I remotely delete any saved files, pictures, videos from my ipod classic if it is stolen?

You can't. The most you can do is report the theft to the local authorities.

Reporting a lost or stolen Apple product

B-rock

Have you set up the Find My iPod utility in iCloud before you lost the device?

If so, you can send the Remote Wipe command, which will wipe the device (it first needs a Wi-Fi network to connect to before it can "see" the request you sent, so it won't work if the device is Off or has not network connection).

If the theif or whoever has the device has already wiped the device themselves, obviously all your data has been removed. However, if it's been wiped, no further tracking or remote management with iCloud is possible after that.

I pod classic does not have wi fi

My bad. I'm so used to that being the go-to answer that I neglected to take note of what model iPod we were concerned with. Thanks for the catch!