You may sell players once they are in your squad. You have to place them on the transfer list. They remain on the transfer list until someone bids for them or you remove them from the transfer list. If someone does bid on them, an auction is created and the auction remains for however long auctions normally last in your league. When the auction ends they will be removed from your squad and added to the winner of the auction's squad. You will receive all the funds raised by the auction.
You may also drop a player. This instantly removes that player from your squad. The downside is you get no compensation in funds for dropping them.
If a player retires or moves out of the premiership you can drop that player and receive half the money you paid for them back again.
There is an exception: If a player leaves the premiership before the end of the August premiership transfer window, you are able to drop them for a full refund.