You probably already know that a seller can remove bids from the auctions if for whatever reason the seller is uncomfortable:
http://pages.ebay.ca/help/sell/manage_bidders_ov.html#canceling
If you do that, however, you might want to subsequently block that bidder. And as I'm sure you know, you can set your preferences to block anyone with Unpaid Item strikes:
http://pages.ebay.ca/help/sell/manage_bidders_ov.html#set
If you continue to be plagued by non-paying zero-feedback bidders, you can try blocking people without paypal accounts, although that does not prevent unpaid item issues. It does, however, prevent credit card users from buying your items, which is why very few sellers do it, although they will tell you to do it. But you can try it for a while if you think it will 'help'.
There is only one way to avoid unpaid cases, - Price all your items fairly and set your listings for Fixed Price. You know, so they're all 'Buy it Now'. Then you set them for Immediate Payment Required. That way you don't have to block anybody. You will completely eliminate unpaid problems whilst maximizing your sales. It may even lower your blood pressure.
Auctions are not for everyone.
http://pages.ebay.ca/help/pay/require-immediate-payment.html
For now though, yes, - open those Unpaid cases! Most sellers block anyone with 2 or more, and non-payers tend to be repeat offenders, so do your bit to help stamp out irresponsible bidding:
http://pages.ebay.ca/help/sell/unpaid-items.html
