I (with the help of the #bash IRC channel) created this function that simulates GNU rm -I (the less-intrusive interactive functionality that GNU rm has). Just put it in your ~/.kshrc: https://0x0.st/-7Xb.sh

Edit: What that function actually does is: it prompts for confirmation for each file, as usual. But only if you give as argument three or less files and, if calling it recursively (-r), only non-directory files were given.
If you give as argument more then one files or (with the -r option) a directory, it asks for confirmation only once for all files (instead of prompting for each file).