To unlock Knuckles, Cream and Amy you do not have to delete the game. You only have to defeat the Final Boss as either Sonic or Tails. Then revisit all of the Sunset Hill stages including the boss stage. For Amy complete all the stages for Toy Kindgom including the boss stage. And finally for Cream complete all the stages of Cyber Track including the boss stage. You do not have to have any Chaos Emeralds to do this.