Q: How do I remove a song from my iPhone that I pulled down off the Cloud?

If you're using iTunes Match, currently this is not possible.  For some reason the ability to remove individual songs was removed with iOS 6.  All you can do is delete all the music from your phone (by going to Settings>General>Usage, tapping Music, swipping across All Music and tapping Delete), then redownload the music you want on your phone from iTunes Match.

If you're not using iTunes match you could try swipping across the title of the song and seeing if the option to Delete appears.  Not sure if this is still possible for non-iTunes Match users.

Just realised this. What can possibly be the rationale for this change? The suggested method you put forward seems like cracking a nut with a sledgehammer and pretty unrealistic.surely there must be a simpler method, the present one is retrograde.      

I don't like it either, but right now it's the only solution I know.  Let Apple know how you feel here: http://www.apple.com/feedback/icloud.html.

6.1 beta 3 has swipe to delete songs.