If you want use Valgrind to check the memory leak of your wxGTK program, you probably end up with too many false detections. You need a suppression file to help you focus on the real problem you are dealing with. I followed the great article at http://wiki.wxwidgets.org/Valgrind_Suppression_File_Howto to create my first wxGTK suppression file. The version of wxGTK is 2.9.1 and my OS is openSUSE-11.1 x86-64 . If your OS arch is not x86-64, you may need to modify the string occurrences  '64'  in suppression file. I tested my suppression file with wxWdgets sample program 'mininal' the error number is 2, with sample opengl program 'cube' the error number is 0. I hope I didn't overact in my suppression file.

I suggested using the following command to fire up valgrind:

G_SLICE=always-malloc G_DEBUG=gc-friendly valgrind --leak-check=yes
--suppressions=./wx.supp --log-file=valgrind.log ./YOUR_PROG

Download it at here wx.supp. And remove the 'doc' extension or rename to whatever you like since it is a plain txt file per se.

Read more at http://live.gnome.org/Valgrind