try
{
   set<ArrType*> sHeap;
   ArrType* myArr = new ArrType[5];
   sHeap.Add(myArr);
   someExternalRoutine(myArr);
   ...
}
catch(CString s)
{
   DeleteAllPointersInMyHeap(sHeap);
   throw(s);
}

try
{
   set<ArrType*> sHeap;
   ArrType* myArr = new ArrType[5];
   sHeap.Add(myArr);
   someExternalRoutine(myArr);
   ...
}

{
   std::vector <ArrType> myArr(5);
   someExternalRoutine(myArr);
}

std::vector<ArrType>

boost::ptr_vector<ArrType>

template <class T>
class Garbage
{
    std::vector<T *> v;

    Garbage(const Garbage &);
    Garbage operator=(const Garbage &);

public:
    Garbage() {}

    ~Garbage()
    {
        for (std::vector<T *>::iterator i = v.begin();
             i != v.end(); ++i) delete *i;
    }

    void swap(Garbage<T> &other)
    {
        v.swap(other.v);
    }

    T *remember(T *i)
    {
        v.push_back(i);
        return i;
    }

    void forget(T *i)
    {
        v.erase(std::remove(v.begin(), v.end(), i), v.end());
    }
};

Garbage<Thing> g;

Thing *t1 = g.remember(new Thing());

Thing *t2 = g.remember(new Thing());

// decide we want to keep t1:
g.forget(t1);