Fix minor potential leaks on OS X

This is really not a big deal but still.

Commit details:
- Fixed potential memory leaks on OS X
- And renamed create* methods to new* to follow more closely Objective-C
naming convention regarding memory management.

Note that clang analyzer also spot a «dead store» [when writing false to `isInsideMultiline `](https://github.com/LaurentGomila/SFML/blob/master/src/SFML/Network/Ftp.cpp#L442). Apparently the value is never read again. However, I think this is a false positive seen the if statement on line 419.

A few other dead stores are also reported in stb_image.h but that's not our job.