Does anyone know how to use Valgrind to memory debug RInside programs?
When you use RInside, you create a standalone C++ program---which happens to be linked with R such that R gets embedded.
The use of valgrind is therefore no different then with another C++ program. All code that you want valgrind to analyse may have to rebuilt with the proper setup (see preparing your program at the Valgrind site) and that includes R and RInside if you want Valgrind output on these components too.