I found this helpful for setting up wine and valgrind together:

http://wiki.winehq.org/Wine_and_Valgrind

You may need to recompile wine after installing valgrind, as mentioned in the
wiki. For a similar issue in Diablo III, I could not get the game to run with
valgrind, so I used apitrace to record a session and ran valgrind on the trace
(after much help from Michel and Ilia). Hope this helps. Oh, make sure to
compile Mesa with debug symbols or you'll need to repeat the whole process. I
forgot that the first time 'round.