You should probably avoid _malloca where possible, because you can cause a stack overflow if you allocate too much memory - especially a problem if you're allocating a variable amount of memory.
Joe's code will work but note the destructor is never called automatically in the case an exception is thrown, or if the function returns early, etc. so it's still risky. Best to only keep plain old data in any memory allocated by _malloca.
The best way to put C++ objects on the stack is the normal way :)
MyClass my_stack_class;