The output file is created by the mysqld process, not by your client process. Therefore the output file must be owned by the uid and gid of the mysqld process.
You can avoid having to sudo to access the file if you access it from a process under a uid or gid that can access the file. In other words, if mysqld creates files owned by uid and gid "mysql"/"mysql", then add your own account to group "mysql". Then you should be able to access the file, provided the file's permission mode includes group access.
Edit:
You are deleting a file in /tmp, with a directory permission mode of rwxrwxrwt. The sticky bit ('t') means you can remove files only if your uid is the same as the owner of the file, regardless of permissions on the file or the directory.
If you save your output file in another directory that doesn't have the sticky bit set, you should be able to remove the file normally.
Read this excerpt from the man page for sticky(8):
STICKY DIRECTORIES
A directory whose `sticky bit' is set becomes an append-only directory, or, more accurately, a directory in which the deletion of files is restricted. A file in a sticky directory may only be removed or renamed by a user if the user has write permission for the directory and the user is the owner of the file, the owner of the directory, or the super-user. This feature is usefully applied to directories such as /tmp which must be publicly writable but should deny users the license to arbitrarily delete or rename each others' files.