I think Ctrl + Alt + O works when the import is unused but a valid import. However, say you try to import a class from a package that does not exist or no longer exists (which can happen during refactoring), the shortcut command does not work (atleast it didn't for me). If you have more than one file like this, things can get problematic.
To solve this problem, click on Analyse -> Inspect code -> (select your module / project). Let it perform the analysis. Go down to Imports -> Unused imports. Click on the "Delete unnecessary import" button that appears on the right.