There are a few issues with the other solutions I originally used that I found from other wikis. I address the issues I had in this much simpler and shorter way. I am also going to explain what is going into way more detail than others to help people understand what's going on.
I've seen many tickets regarding how to show friendly delete confirmation using CGridView's CButtonColumn in ajax request. If you are using relational database, after producing CRUD functionality when you try to delete a record in ajax mode which has child record it can't be deleted and you can see the ajax loader forever. By this way you can't show the users if a record has been successfully deleted or if there are some problem in flash style (setFlash() / getFlash())
A lot of people have written posts on integrating Yii and WordPress. This article combines goncin's approach with an article I read about integrating Symfony and WordPress and applies it all to Yii and WordPress.