Aunque se puede instalar valgrind, el estado actual no es muy utilizable. En un programa simple obtuve el siguiente resultado;
==16016==
==16016== HEAP SUMMARY:
==16016== in use at exit: 63,264 bytes in 364 blocks
==16016== total heap usage: 516 allocs, 152 frees, 67,154 bytes allocated
==16016==
==16016== LEAK SUMMARY:
==16016== definitely lost: 8,624 bytes in 14 blocks
==16016== indirectly lost: 1,168 bytes in 5 blocks
==16016== possibly lost: 4,933 bytes in 68 blocks
==16016== still reachable: 48,539 bytes in 277 blocks
==16016== suppressed: 0 bytes in 0 blocks
==16016== Rerun with --leak-check=full to see details of leaked memory
==16016==
==16016== For counts of detected and suppressed errors, rerun with: -v
==16016== ERROR SUMMARY: 0 errors from 0 contexts (suppressed: 0 from 0)
El mismo código estará bien con el uso de valgrind en un linux (compilado en sus respectivos sistemas)