You can also do the following
Create an event reciever and attach it to the ItemDeleting event of the content type created by the workflow. You would have to use the following code in the event:
properties.Cancel = true;
properties.Status = SPEventReceiverStatus.Continue;
Attatching it to the content type created by the workflow means it won't apply to other taks that get created in the Task list which leaves those unaffected. If you make this a site level feature any items created by this workflow won't be deletable(is that even a word)
To find the content type just go to the Task List settings. The items will be using this content type.
You can also just attatch the event reciever to the Tasks Content type therefore not allowing any tasks to be deleted.
Hope that helps!