new and delete from different threads

I am aware that the C++ standard in its present form does not say
anything about threads, however I do have a relevant question.

I am working on Windows XP/VC++ 8.0.

Is there a problem new'ing a bunch of objects from one thread and
deleting them in another? I do something like:

struct GenericPointerDeleter
{
    template<typename T>
    void operator()(T* p)
    {
        if (ptr != 0)
        {
            delete ptr;
            ptr = 0;
        }
    }
};

typedef vector<classofpointers*> vecptrs;
int main()
{
    vecptrs myptrs;
    CreateThread(...... (LPVOID)&myptrs........);
    // use some platform specific API to wait until
threadcallbackroutine terminates
    pseudo_wait_for_terminate(threadcallbackroutine);

    for_each(myptrs.begin(), myptrs.end(), GenericPointerDeleter());
}

DWORD WINAPI threadcallbackroutine(LPVOID param)
{
    vecptrs* my_ptrs = static_cast<vecptrs*>(param);
    my_ptrs->push_back(new classofpointers());
    return 0;
}

I have vastly simplified what is essentially happening in my
application...

Should I be careful about new'ing and deleting from the same thread?