http://www.fbi.gov/hq/cjisd/nics/nicsfact.htm
Current destruction of NICS records became effective when a final rule was published by the Department of Justice in The Federal Register, outlining the following changes. Per Title 28, Code of Federal Regulations, Part 25.9(b)(1), (2), and (3), the NICS Section must destroy all identifying information on allowed transactions prior to the start of the next NICS operational day.
Yes, the background check info that is transmitted, is supposed to be destroyed. The actual form though, the 4473 stays on file with the dealer, and the BATFE can check them at any time for compliance.