Re #5466. Clear a couple of memory leaks.

These were highlighted by running the LoadLiveData unit test.
They won't affect the situation that led to the creation of this ticket
as they're MD-related and my test run wasn't.

Code/Mantid/Framework/MDEvents/inc/MantidMDEvents/ConvertToDiffractionMDWorkspace.h

@@ -81,7 +81,7 @@ namespace MDEvents
     /// Sample position
     Kernel::V3D samplePos;
     /// Progress reporter (shared)
-    Kernel::ProgressBase * prog;
+    boost::shared_ptr<Kernel::ProgressBase> prog;
     /// Matrix. Multiply this by the lab frame Qx, Qy, Qz to get the desired Q or HKL.
     Kernel::Matrix<double> mat;
 

Code/Mantid/Framework/MDEvents/src/ConvertToDiffractionMDWorkspace.cpp

@@ -517,9 +517,7 @@ namespace MDEvents
     size_t totalEvents = m_inWS->size();
     if (m_inEventWS && !OneEventPerBin)
       totalEvents = m_inEventWS->getNumberEvents();
-    prog = new Progress(this, 0, 1.0, totalEvents);
-//    if (DODEBUG) prog = new ProgressText(0, 1.0, totalCost, true);
-//    if (DODEBUG) prog->setNotifyStep(1);
+    prog = boost::make_shared<Progress>(this, 0, 1.0, totalEvents);
 
     // Is the addition of events thread-safe?
     bool MultiThreadedAdding = m_inWS->threadSafe();

Code/Mantid/Framework/MDEvents/src/MDEventWorkspace.cpp

@@ -37,7 +37,7 @@ namespace MDEvents
    */
   TMDE(
   MDEventWorkspace)::MDEventWorkspace()
-  : m_BoxController(new BoxController(nd))
+  : m_BoxController(boost::make_shared<BoxController>(nd))
   {
     // First box is at depth 0, and has this default boxController
     data = new MDBox<MDE, nd>(m_BoxController, 0);
@@ -530,6 +530,7 @@ namespace MDEvents
       if (!box) throw
           std::runtime_error("MDEventWorkspace::splitBox() expected its data to be a MDBox* to split to MDGridBox.");
       gridBox = new MDGridBox<MDE,nd>(box);
+      delete data;
       data = gridBox;
     }
   }