I have have a function in wrote in C++ that calls some functions in a old lib. This function creates some memory makes the calls and destroys the memory. To optimize this I
I prefer to write a managed wrapper in C++/CLI (formerly Managed C++), as it makes it much easier to explicitly do what you want with managed/unmanaged interoperability on the C++ side, and your C# doesn't get polluted with P/Invoke style code.
Edit Just noticed your comment "However I'm going to be calling this function from C# and don't believe I can export a Class, just functions or variables."
That's not entirely true - C# can import full classes from an assembly generated from C++/CLI code.
Make a C# class that implements IDisposable. You can wrap a simple C API around your C++ object, so when you construct an instance, it returns a pointer to the C++ class, and when you Dispose() of your C# class, it deletes the pointer.
You can always dereference this pointer to call methods on your C++ class.
Another good alternative is to just use C++/CLI to make a wrapper for your C++ class. Handling this type of situation is much simpler there.
If you are willing to change the native C++ code, you could always export it as a COM interface which C# can consume.