The reason I'm asking is that I want to test something, that I expect will generate a number of commits, totalling a lot of data, and since it's only a test, I don't want to leave them permanently in the database.
Do I have to set up a temporary TFS server for this, or can I just delete the project afterwards and expects its disk space to be reclaimed?
Disk space will not be reclaimed by normal deletion. You always have the option to undelete something in TFS, so changes will never get lost. (It's kind of a good feature in a source control system).
Do remember that TFS stores files as diffs between commits, so the disk space usage might not be so large as you expect.
You can, however, use tf.exe destroy to permanently delete your changes. I think this will allow you to reclaim disk space (though I haven't tested personally). Please be cautious if using tf destroy.