Turn on debug in local/common.mk by adding the line OPTIMIZE=-g

do

make all_clean

followed by

sudo make install

Once installed, you have to change the setuid bit for the executable you want to test, e.g.

sudo chmod -s /opt/MagAOX/bin/magAOXMaths

You will need to be root to run without setuid.
Then you can run that one executable with

valgrind --leak-check=yes --show-leak-kinds=all --trace-children=yes /opt/MagAOX/bin/magAOXMaths -n maths_y