DolphinWX: Eliminate some memory leaks

Since the menus aren't actually assigned a parent, they would not be freed by wx. Plus, these should have initially been constructed on the stack in the first place.
Technically any time someone right-clicked the game list they would be leaking memory.
Merge pull request #1530 from lioncash/ui-leaks

DolphinWX: Eliminate some memory leaks