1) Free your memory when you request if off the heap. Memory leaks are never a good thing. If it doesn't hurt you now, it likely will down the road.
2) There is no guarantee by C or C++ that your OS will clean up the memory for you. You may be programming some day on a system that, in fact, does not. Or worse, you may be porting code in which you didn't care about memory leaks to this new platform.