Maybe not. We don't really know:
http://math.ucr.edu/home/baez/physics/Relativity/GR/grav_speed.html
I'll quote a bit of the article to try and induce more people to read the original in its entirety.
To begin with, the speed of gravity has not been measured directly in the laboratory--the gravitational interaction is too weak, and such an experiment is beyond present technological capabilities. The "speed of gravity" must therefore be deduced from astronomical observations, and the answer depends on what model of gravity one uses to describe those observations.
In the simple Newtonian model, gravity propagates instantaneously: the force exerted by a massive object points directly toward that object's present position. For example, even though the Sun is 500 light seconds from the Earth, Newtonian gravity describes a force on Earth directed towards the Sun's position "now," not its position 500 seconds ago. Putting a "light travel delay" (technically called "retardation") into Newtonian gravity would make orbits unstable, leading to predictions that clearly contradict Solar System observations.
In general relativity, on the other hand, gravity propagates at the speed of light; that is, the motion of a massive object creates a distortion in the curvature of spacetime that moves outward at light speed. This might seem to contradict the Solar System observations described above, but remember that general relativity is conceptually very different from Newtonian gravity, so a direct comparison is not so simple. Strictly speaking, gravity is not a "force" in general relativity, and a description in terms of speed and direction can be tricky. For weak fields, though, one can describe the theory in a sort of Newtonian language. In that case, one finds that the "force" in GR is not quite central--it does not point directly towards the source of the gravitational field--and that it depends on velocity as well as position. The net result is that the effect of propagation delay is almost exactly cancelled, and general relativity very nearly reproduces the Newtonian result.
This cancellation may seem less strange if one notes that a similar effect occurs in electromagnetism. If a charged particle is moving at a constant velocity, it exerts a force that points toward its present position, not its retarded position, even though electromagnetic interactions certainly move at the speed of light. Here, as in general relativity, subtleties in the nature of the interaction "conspire" to disguise the effect of propagation delay. It should be emphasized that in both electromagnetism and general relativity, this effect is not put in ad hoc but comes out of the equations. Also, the cancellation is nearly exact only for constant velocities. If a charged particle or a gravitating mass suddenly accelerates, the change in the electric or gravitational field propagates outward at the speed of light.
Since this point can be confusing, it's worth exploring a little further, in a slightly more technical manner.
To put it more simply, when you measure the speed of light, you measure the speed of propagation of a wave. Applying the same definition, the speed of gravity is the speed of gravitational radiation, which is expected to be the same as the speed of light, but has not been measured (yet).
Looking at the direction of the force from a "point mass" or a "point charge" leads people to misleading ideas about the "speed" of both electromagnetism and gravity - the direction of the force does not actually tell one anything about the speed.
Asking what happens when a mass or charge "disappears" is also a dead end. When one does the math, one finds that charges don't disappear and neither do masses. This non-disappearance is built directly into the appropriate equations (Maxwell's equations for E&M, Einstein's field equations for gravity). Therefore one cannot solve these equations for what happens when mass/charge disappears, the equations assume that mass and charge cannot disappear.